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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.PR2012★ 5 cited
Representations of max-stable processes based on single extreme events
Sebastian Engelke, Alexander Malinowski, Marco Oesting +1
This paper provides the basis for new methods of inference for max-stable processes ξ on general spaces that admit a certain incremental representation, which, in important cases,…