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20112019
most citedA multivariate piecing-together approach with an application to operational loss data

17 citations · 88 across the 18 of their papers we have counts for

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Showing 2011 · math.STShow all

2 papers · 2 filters

math.ST2011★ 6 cited

Local asymptotic normality in δ-neighborhoods of standard generalized Pareto processes

Stefan Aulbach, Michael Falk

De Haan and Pereira (2006) provided models for spatial extremes in the case of stationarity, which depend on just one parameter β > 0 measuring tail dependence, and they proposed d…

math.ST2011★ 5 cited

Asymptotic Conditional Distribution of Exceedance Counts: Fragility Index with Different Margins

Michael Falk, Diana Tichy

Let be a random vector, whose components are not necessarily independent nor are they required to have identical distribution functions . Denote…