27 citations · 64 across the 13 of their papers we have counts for
3 papers · 2 filters
Extreme Events of Markov Chains
Ioannis Papastathopoulos, Kirstin Strokorb, Jonathan A. Tawn +1
The extremal behaviour of a Markov chain is typically characterized by its tail chain. For asymptotically dependent Markov chains existing formulations fail to capture the full evo…
Max-stable random sup-measures with comonotonic tail dependence
Ilya Molchanov, Kirstin Strokorb
Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory o…
Conditional independence among max-stable laws
Ioannis Papastathopoulos, Kirstin Strokorb
Let be a max-stable random vector with positive continuous density. It is proved that the conditional independence of any collection of disjoint sub-vectors of given the re…