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Principal component analysis for multivariate extremes
14 references·0 citing·37 second hop
Principal component analysis for multivariate extremes (2021)Principal component analysis for multivar…Decompositions of dependence for high-dimensional extremes (2019)Decompositions of dependence …Sparse representation of multivariate extremes with applications to anomaly detection (2017)Sparse representation of mult…Multivariate generalized Pareto distributions: Parametrizations, representations, and properties (2017)Multivariate generalized Pare…Dimension reduction in multivariate extreme value analysis (2015)Dimension reduction in multiv…The generalized Pareto process; with a view towards application and simulation (2014)The generalized Pareto proces…Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps (2014)Regularly varying measures on…Max-Stable Models for Multivariate Extremes (2012)Max-Stable Models for Multiva…Likelihood-Based Inference for Max-Stable Processes (2010)Likelihood-Based Inference fo…Rank-based inference for bivariate extreme-value copulas (2009)Rank-based inference for biva…Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006)Heavy-Tail Phenomena: Probabi…Statistics of Extremes: Theory and Applications (2004)Statistics of Extremes: Theor…Models for Stationary Max-Stable Random Fields (2002)Models for Stationary Max-Sta…Nonparametric estimation of the spectral measure of an extreme value distribution (2001)Nonparametric estimation of t…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…A Spectral Representation for Max-stable Processes (1984)A dependence measure for multivariate and spatial extreme values: Properties and inference (2003)Stationary max-stable fields associated to negative definite functions (2009)Modelling of extremal events in insurance and finance (1994)Extreme Value Theory : An Introduction (2006)Risk contagion under regular variation and asymptotic tail independence (2017)High-dimensional peaks-over-threshold inference (2018)Functional Peaks-Over-Threshold Analysis (2022)Residual Life Time at Great Age (1974)Multivariate generalized Pareto distributions (2006)Efficient inference and simulation for elliptical Pareto processes (2015)Bridging asymptotic independence and dependence in spatial extremes using Gaussian scale mixtures (2017)Advances in statistical modeling of spatial extremes (2020)Bivariate Extreme Value Theory: Models and Estimation (1988)Weak convergence of empirical copula processes (2004)The t Copula and Related Copulas (2007)New estimators of the Pickands dependence function and a test for extreme-value dependence (2010)A goodness-of-fit test for bivariate extreme-value copulas (2011)Nonparametric estimation of multivariate extreme-value copulas (2012)STATISTICS FOR SPATIAL DATA (1992)Statistics for Spatial Data. (1993)Extreme events: dynamics, statistics and prediction (2011)Geostatistics of extremes (2011)Space–Time Modelling of Extreme Events (2013)Limit theory for multivariate sample extremes (1977)A New Class of Models for Bivariate Joint Tails (2008)Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution (2009)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)Maxima of normal random vectors: Between independence and complete dependence (1989)Statistics for near independence in multivariate extreme values (1996)A Hierarchical Max-Infinitely Divisible Spatial Model for Extreme Precipitation (2020)Statistical Modeling of Spatial Extremes (2012)Tail Risk and Asset Prices (2014)Understanding Heterogeneity in Clinical Cohorts Using Normative Models: Beyond Case-Control Studies (2016)Extreme Correlation of International Equity Markets (2001)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Regularly varying multivariate time series (2008)
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References

  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 2006Heavy-Tail Phenomena: Probabilistic and Statistical Modeling884 cited
  • 2002Models for Stationary Max-Stable Random Fields396 cited
  • 2010Likelihood-Based Inference for Max-Stable Processes395 cited
  • 2014The generalized Pareto process; with a view towards application and simulation124 cited
  • 2001Nonparametric estimation of the spectral measure of an extreme value distribution112 cited
  • 2009Rank-based inference for bivariate extreme-value copulas104 cited
  • 2014Regularly varying measures on metric spaces: Hidden regular variation and hidden jumps91 cited
  • 2019Decompositions of dependence for high-dimensional extremes90 cited
  • 2012Max-Stable Models for Multivariate Extremes69 cited
  • 2017Multivariate generalized Pareto distributions: Parametrizations, representations, and properties50 cited
  • 2017Sparse representation of multivariate extremes with applications to anomaly detection48 cited
  • 2015Dimension reduction in multivariate extreme value analysis44 cited

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