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Approximation and estimation of very small probabilities of multivariate extreme events
16 references·0 citing·19 second hop
Approximation and estimation of very small probabilities of multivariate extreme events (2016)Approximation and estimation of very smal…The generalized Pareto process; with a view towards application and simulation (2014)The generalized Pareto proces…Estimation of the conditional distribution of a multivariate variable given that one of its components is large: Additional constraints for the Heffernan and Tawn model (2012)Estimation of the conditional…Limit laws for random vectors with an extreme component (2007)Limit laws for random vectors…Extreme Value Theory (2006)Extreme Value TheoryExtreme value theory : an introduction (2006)Extreme value theory : an int…Bivariate tail estimation: dependence in asymptotic independence (2004)Bivariate tail estimation: de…A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)A Conditional Approach for Mu…Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002)Hidden Regular Variation, Sec…Multivariate Extreme Value Distributions (2000)Multivariate Extreme Value Di…Modelling Dependence within Joint Tail Regions (1997)Modelling Dependence within J…Statistics for near independence in multivariate extreme values (1996)Statistics for near independe…Statistical methods for multivariate extremes: an application to structural design. (1994)Statistical methods for multi…Bivariate Threshold Methods for Extremes (1992)Bivariate Threshold Methods f…Modelling Extreme Multivariate Events (1991)Modelling Extreme Multivariat…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…On Some Simple Estimates of an Exponent of Regular Variation (1982)On Some Simple Estimates of a…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)Models for Exceedances Over High Thresholds (1990)Dependence Measures for Extreme Value Analyses (1999)Tails of multivariate Archimedean copulas (2009)Spatial Interaction and the Statistical Analysis of Lattice Systems (1974)Modelling Extremal Events (1997)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)Statistical Modeling of Spatial Extremes (2012)A review of quantification methodologies for multi-hazard interrelationships (2019)MODELING THE CHOICE OF RESIDENTIAL LOCATION (1978)Estimating Tails of Probability Distributions (1987)Power-Law Distributions in Empirical Data (2009)Power-law distributions in empirical data (2018)Modelling of extremal events in insurance and finance (1994)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Stationary max-stable fields associated to negative definite functions (2009)The t Copula and Related Copulas (2007)
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  • 2012

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Estimation of the conditional distribution of a multivariate variable given that one of its components is large: Additional constraints for the Heffernan and Tawn model
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