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One- versus multi-component regular variation and extremes of Markov trees

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  • Segers, Johan

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  • Segers, Johan, 2019. "One- versus multi-component regular variation and extremes of Markov trees," LIDAM Discussion Papers ISBA 2019001, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2019001
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    References listed on IDEAS

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    1. Segers, Johan & Zhao, Yuwei & Meinguet, Thomas, 2017. "Polar decomposition of regularly varying time series in star-shaped metric spaces," LIDAM Reprints ISBA 2017029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Einmahl, John & Kiriliouk, A. & Segers, J.J.J., 2016. "A Continuous Updating Weighted Least Squares Estimator of Tail Dependence in High Dimensions," Other publications TiSEM a3e7350b-4773-4bd8-9c3c-6, Tilburg University, School of Economics and Management.
    3. Rootzen, Holger & Segers, Johan & Wadsworth, Jennifer L., 2018. "Multivariate generalized Pareto distributions: Parametrizations, representations, and properties," LIDAM Reprints ISBA 2018003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Gissibl, Nadine & Klüppelberg, Claudia & Otto, Moritz, 2018. "Tail dependence of recursive max-linear models with regularly varying noise variables," Econometrics and Statistics, Elsevier, vol. 6(C), pages 149-167.
    5. Basrak, Bojan & Segers, Johan, 2009. "Regularly varying multivariate time series," Stochastic Processes and their Applications, Elsevier, vol. 119(4), pages 1055-1080, April.
    6. Kiriliouk, Anna & Rootzen, Holger & Segers, Johan & Wadsworth, Jennifer L., 2018. "Peaks over thresholds modelling with multivariate generalized Pareto distributions," LIDAM Reprints ISBA 2018015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    7. Rootzén, Holger & Segers, Johan & Wadsworth, Jennifer L., 2018. "Multivariate generalized Pareto distributions: Parametrizations, representations, and properties," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 117-131.
    8. Hüsler, Jürg & Reiss, Rolf-Dieter, 1989. "Maxima of normal random vectors: Between independence and complete dependence," Statistics & Probability Letters, Elsevier, vol. 7(4), pages 283-286, February.
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    Cited by:

    1. Klüppelberg, Claudia & Krali, Mario, 2021. "Estimating an extreme Bayesian network via scalings," Journal of Multivariate Analysis, Elsevier, vol. 181(C).
    2. Asenova, Stefka Kirilova & Mazo, Gildas & Segers, Johan, 2020. "Inference on extremal dependence in a latent Markov tree model attracted to a Husler-Reiss distribution," LIDAM Discussion Papers ISBA 2020005, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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