17 citations · 32 across the 3 of their papers we have counts for
9 papers
The space of D-norms revisited
Stefan Aulbach, Michael Falk, Maximilian Zott
The theory of -norms is an offspring of multivariate extreme value theory. We present recent results on -norms, which are completely determined by a certain random vector cal…
Testing for a δ-neighborhood of a generalized Pareto copula
Stefan Aulbach, Michael Falk
A multivariate distribution function F is in the max-domain of attraction of an extreme value distribution if and only if this is true for the copula corresponding to F and its uni…
Max-stable processes and the functional D-norm revisited
Stefan Aulbach, Michael Falk, Martin Hofmann +1
Aulbach et al. (2013) introduced a max-domain of attraction approach for extreme value theory in C[0,1] based on functional distribution functions, which is more general than the a…
A characterization of D-norms and their generators based on the family of spectral functions
Stefan Aulbach
Aulbach et al. (2012) introduced the concept of D-norms in the framework of functional extreme value theory (EVT) extending the multivariate case in a natural manner. In particular…
A multivariate piecing-together approach with an application to operational loss data
Stefan Aulbach, Verena Bayer, Michael Falk
The univariate piecing-together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. We…
Testing for a generalized Pareto process
Stefan Aulbach, Michael Falk
We investigate two models for the following setup: We consider a stochastic process X \in C[0,1] whose distribution belongs to a parametric family indexed by \vartheta \in Θ \subse…