Extreme-Value Copulas

5 November 2009

Papers citing "Extreme-Value Copulas"

35 / 35 papers shown

Title
Stochastic ordering of extreme order statistics in Archimax copula Sarikul Islam Nitin Gupta 14 0 0 05 Feb 2024
Graphical models for multivariate extremes Sebastian Engelke Manuel Hentschel Michael Lalancette Frank Rottger 23 6 0 03 Feb 2024
Limit theorems for non-degenerate U-statistics of block maxima for time series Axel Bücher Torben Staud AI4TS 11 1 0 26 Aug 2023
High-dimensional variable clustering based on maxima of a weakly dependent random process Alexis Boulin Elena Di Bernardino Thomas Laloe Gwladys Toulemonde 16 1 0 02 Feb 2023
Extreme expectile estimation for short-tailed data, with an application to market risk assessment A. Daouia S. Padoan Gilles Stupfler 16 1 0 05 Oct 2022
A Python Package for Sampling from Copulae: clayton Alexis Boulin 19 0 0 31 Mar 2022
Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework Alexis Boulin Elena Di Bernardino Thomas Laloe Gwladys Toulemonde 23 6 0 27 Dec 2021
Modelling and simulating spatial extremes by combining extreme value theory with generative adversarial networks Younes Boulaguiem Jakob Zscheischler Edoardo Vignotto K. Wiel Sebastian Engelke 18 3 0 30 Oct 2021
Semiparametric bivariate extreme-value copulas Javier Fernández Serrano 17 0 0 23 Sep 2021
On the Tail Behaviour of Aggregated Random Variables J. Richards J. Tawn 16 4 0 25 May 2021
Regression-type analysis for block maxima on block maxima M. Carvalho Gonccalo dos Reis Alina Kumukova 11 1 0 18 Feb 2021
Modeling Extremes with d-max-decreasing Neural Networks Ali Hasan Khalil Elkhalil Yuting Ng João M. Pereira Sina Farsiu Jose H. Blanchet Vahid Tarokh 34 6 0 17 Feb 2021
On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation Thimo M. Kasper Sebastian Fuchs W. Trutschnig 10 27 0 12 Jun 2020
Sparse Structures for Multivariate Extremes Sebastian Engelke J. Ivanovs 24 76 0 25 Apr 2020
A Markov product for tail dependence functions K. Siburg Christopher Strothmann 26 1 0 21 Mar 2020
On the structure of exchangeable extreme-value copulas Jan-Frederik Mai M. Scherer 17 4 0 20 Sep 2019
Multiple block sizes and overlapping blocks for multivariate time series extremes Nan Zou S. Volgushev Axel Bücher AI4TS 14 20 0 22 Jul 2019
Dependence properties and Bayesian inference for asymmetric multivariate copulas Julyan Arbel Marta Crispino Stéphane Girard 18 8 0 02 Feb 2019
Graphical Models for Extremes Sebastian Engelke Adrien Hitz 24 110 0 04 Dec 2018
Geometry of Discrete Copulas Elisa Perrone Liam Solus Caroline Uhler 16 13 0 20 Feb 2018
Weak convergence of the weighted empirical beta copula process Betina Berghaus Johan Segers 15 6 0 19 May 2017
Automated, Efficient, and Practical Extreme Value Analysis with Environmental Applications Brian Bader 16 2 0 24 Nov 2016
Exchangeable exogenous shock models Jan-Frederik Mai Steffen Schenk M. Scherer 11 29 0 05 Feb 2016
Exact simulation of max-stable processes Clément Dombry Sebastian Engelke M. Oesting 26 111 0 14 Jun 2015
On the estimation of the extreme value index for randomly right-truncated data and application S. Benchaira D. Meraghni A. Necir 28 1 0 27 Feb 2015
A two-component copula with links to insurance S. Ismail G. Yu Gesine Reinert T. Maynard 18 1 0 31 Oct 2014
On Tail Index Estimation based on Multivariate Data Stéphan Clémenccon Antoine Dematteo 41 14 0 03 Feb 2014
Sloshing in the LNG shipping industry: risk modelling through multivariate heavy-tail analysis A. Dematteo Stéphan Clémençon Nicolas Vayatis Mathilde Mougeot 38 1 0 29 Nov 2013
Extreme value copula estimation based on block maxima of a multivariate stationary time series Axel Bücher Johan Segers 26 45 0 13 Nov 2013
Copula Calibration J. Ziegel T. Gneiting 22 20 0 29 Jul 2013
On estimating extremal dependence structures by parametric spectral measures J. Beran Georg Mainik 39 3 0 27 Jan 2013
Consistent single- and multi-step sampling of multivariate arrival times: A characterization of self-chaining copulas D. Brigo Kyriakos Chourdakis 50 3 0 10 Apr 2012
Baker- Lin-Huang type Bivariate distributions based on order statistics K. Bayramoğlu I. Bayramoglu (Bairamov) 51 11 0 23 Mar 2011
Bivariate Cox model and copulas Mohamed Achibi M. Broniatowski 48 1 0 07 Nov 2009
Models for dependent extremes using stable mixtures Anne-Laure Fougères J. P. Nolan Holger Rootzén 109 62 0 15 Nov 2007