65 citations · 240 across the 21 of their papers we have counts for
4 papers · 1 filter
A geometric investigation into the tail dependence of vine copulas
Emma S. Simpson, Jennifer L. Wadsworth, Jonathan A. Tawn
Vine copulas are a type of multivariate dependence model, composed of a collection of bivariate copulas that are combined according to a specific underlying graphical structure. Th…
Linking representations for multivariate extremes via a limit set
Natalia Nolde, Jennifer L. Wadsworth
The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random…
Hierarchical Transformed Scale Mixtures for Flexible Modeling of Spatial Extremes on Datasets with Many Locations
Likun Zhang, Benjamin A. Shaby, Jennifer L. Wadsworth
Flexible spatial models that allow transitions between tail dependence classes have recently appeared in the literature. However, inference for these models is computationally proh…
Multivariate generalized Pareto distributions: parametrizations, representations, and properties
Holger Rootzén, Johan Segers, Jennifer L. Wadsworth
Multivariate generalized Pareto distributions arise as the limit distributions of exceedances over multivariate thresholds of random vectors in the domain of attraction of a max-st…