101 citations · 226 across the 14 of their papers we have counts for
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math.ST2019
Principal Component Analysis for Multivariate Extremes
Holger Drees, Anne Sabourin
The first order behavior of multivariate heavy-tailed random vectors above large radial thresholds is ruled by a limit measure in a regular variation framework. For a high dimensio…
math.ST2019
Peak-over-Threshold Estimators for Spectral Tail Processes: Random vs Deterministic Thresholds
Holger Drees, Miran Knezevic
The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] p…