17 citations · 88 across the 18 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…