17 citations · 88 across the 18 of their papers we have counts for
4 papers · 1 filter
Testing for a δ-neighborhood of a generalized Pareto copula
Stefan Aulbach, Michael Falk
A multivariate distribution function F is in the max-domain of attraction of an extreme value distribution if and only if this is true for the copula corresponding to F and its uni…
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…
On Idempotent D-Norms
Michael Falk
Replacing the spectral measure by a random vector $\bfZ$ allows the representation of a max-stable distribution on with standard negative margins via a norm, called \emph{$D…