5 citations · 6 across the 12 of their papers we have counts for
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stat.ME2016
Peaks over thresholds modelling with multivariate generalized Pareto distributions
Anna Kiriliouk, Holger Rootzén, Johan Segers +1
When assessing the impact of extreme events, it is often not just a single component, but the combined behaviour of several components which is important. Statistical modelling usi…
stat.ME2016
A continuous updating weighted least squares estimator of tail dependence in high dimensions
John H. J. Einmahl, Anna Kiriliouk, Johan Segers
Likelihood-based procedures are a common way to estimate tail dependence parameters. They are not applicable, however, in non-differentiable models such as those arising from recen…