2 papers
stat.ME2026
A penalized least squares estimator for extreme-value mixture models
Anas Mourahib, Anna Kiriliouk, Johan Segers
Estimating the parameters of max-stable parametric models poses significant challenges, particularly when some parameters lie on the boundary of the parameter space. This situation…
math.ST2024
Multivariate generalized Pareto distributions along extreme directions
Anas Mourahib, Anna Kiriliouk, Johan Segers
When modeling a vector of risk variables, extreme scenarios are often of special interest. The peaks-over-thresholds method hinges on the notion that, asymptotically, the excesses…