5 citations · 8 across the 3 of their papers we have counts for
3 papers
stat.ME2014★ 5 cited
Nonparametric estimation of extremal dependence
Anna Kiriliouk, Johan Segers, Michal Warchol
There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tac…
stat.ME2014★ 3 cited
Statistics for Tail Processes of Markov Chains
Holger Drees, Johan Segers, Michał Warchoł
At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric rand…
stat.ME2012
A Euclidean likelihood estimator for bivariate tail dependence
Miguel de Carvalho, Boris Oumow, Johan Segers +1
The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain…