17 citations · 88 across the 18 of their papers we have counts for
13 papers · 1 filter
Strong Convergence of Multivariate Maxima
Michael Falk, Simone A. Padoan, Stefano Rizzelli
It is well known and readily seen that the maximum of independent and uniformly on distributed random variables, suitably standardised, converges in total variation dis…
Conditional Tail Independence in Archimedean Copula Models
Michael Falk, Simone Padoan, Florian Wisheckel
Consider a random vector , whose distribution function coincides in its upper tail with that of an Archimedean copula. We report the fact that the conditional distribution of $U…
On a class of norms generated by nonnegative integrable distributions
Michael Falk, Gilles Stupfler
We show that any distribution function on with nonnegative, nonzero and integrable marginal distributions can be characterized by a norm on , calle…
On Multivariate Records from Random Vectors with Independent Components
M. Falk, A. Khorrami, S. A. Padoan
Let be independent copies of a random vector with values in and with a continuous distribution function. T…
Some Results on Joint Record Events
M. Falk, A. Khorrami Chokami, S. A. Padoan
Let be independent and identically distributed random variables on the real line with a joint continuous distribution function . The stochastic behavior of the s…
On generalized max-linear models in max-stable random fields
Michael Falk, Maximilian Zott
In practice, it is not possible to observe a whole max-stable random field. Therefore, a way how to reconstruct a max-stable random field in by interpolatin…
An Offspring of Multivariate Extreme-Value Theory: The Max-Characteristic Function
Michael Falk, Gilles Stupfler
This paper introduces max-characteristic functions (max-CFs), which are an offspring of multivariate extreme-value theory. A max-CF characterizes the distribution of a random vecto…
On functional records and champions
Clément Dombry, Michael Falk, Maximilian Zott
Records among a sequence of iid random variables on the real line have been investigated extensively over the past decades. A record is defined as a random variabl…
On generalized max-linear models and their statistical interpolation
Michael Falk, Martin Hofmann, Maximilian Zott
We propose a way how to generate a max-stable process in from a max-stable random vector in by generalizing the \emph{max-linear model} established by \citet…
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…
The multivariate Piecing-Together approach revisited
Stefan Aulbach, Michael Falk, Martin Hofmann
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. A m…
Sojourn Times and the Fragility Index
Michael Falk, Martin Hofmann
We investigate the sojourn time above a high threshold of a continuous stochastic process Y on [0,1]. It turns out that the limit, as the threshold increases, of the expected sojou…
On Max-Stable Processes and the Functional D-Norm
Stefan Aulbach, Michael Falk, Martin Hofmann
We introduce a functional domain of attraction approach for stochastic processes, which is more general than the usual one based on weak convergence. The distribution function G of…