3 papers
math.PR2019
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…
math.ST2018
Generalized Pareto Copulas: A Key to Multivariate Extremes
Michael Falk, Simone Padoan, Florian Wisheckel
This paper reviews generalized Pareto copulas (GPC), which turn out to be a key to multivariate extreme value theory. Any GPC can be represented in an easy analytic way using a par…
math.ST2017
Asymptotic Independence of Bivariate Order Statistics
Michael Falk, Florian Wisheckel
It is well known that an extreme order statistic and a central order statistic (os) as well as an intermediate os and a central os from a sample of iid univariate random variables…