17 citations · 88 across the 18 of their papers we have counts for
Showing 2011 · math.PRShow all
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math.PR2011★ 8 cited
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…
math.PR2011★ 3 cited
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…
math.PR2011★ 16 cited
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…