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math.PR2018
Extremal dependence of random scale constructions
Sebastian Engelke, Thomas Opitz, Jennifer Wadsworth
A bivariate random vector can exhibit either asymptotic independence or dependence between the largest values of its components. When used as a statistical model for risk assessmen…
math.PR2016★ 65 cited
Multivariate peaks over thresholds models
Holger Rootzén, Johan Segers, Jennifer L. Wadsworth
Multivariate peaks over thresholds modeling based on generalized Pareto distributions has up to now only been used in few and mostly 2-dimensional situations. This paper contribute…