592 citations · 615 across the 23 of their papers we have counts for
3 papers · 1 filter
Asymptotic theory for Bayesian inference and prediction: from the ordinary to a conditional Peaks-Over-Threshold method
Clément Dombry, Simone A. Padoan, Stefano Rizzelli
The Peaks Over Threshold (POT) method is the most popular statistical method for the analysis of univariate extremes. Even though there is a rich applied literature on Bayesian inf…
Marginal expected shortfall inference under multivariate regular variation
Simone A. Padoan, Stefano Rizzelli, Matteo Schiavone
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against se…
Strong Convergence of Peaks Over a Threshold
Simone A. Padoan, Stefano Rizzelli
Extreme Value Theory plays an important role to provide approximation results for the extremes of a sequence of independent random variables when their distribution is unknown. An…