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Nonparametric estimation of the spectral measure of an extreme value distribution

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References

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2006Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition71 cited
2010On optimal portfolio diversification with respect to extreme risks65 cited
2006Nonparametric estimation of the dependence function for a multivariate extreme value distribution61 cited
2004On the foundations of multivariate heavy-tail analysis59 cited

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2008Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case57 cited

2007Estimating the tail dependence function of an elliptical distribution57 cited

2017Sparse representation of multivariate extremes with applications to anomaly detection48 cited

2004The Extremal Dependence Measure and Asymptotic Independence47 cited

2011Multivariate extreme models based on underlying skew- t and skew-normal distributions46 cited

2015Dimension reduction in multivariate extreme value analysis44 cited

2021Principal component analysis for multivariate extremes44 cited

2008Projection estimators of Pickands dependence functions40 cited

2011ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE37 cited