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Max-stable models for multivariate extremes
Copula domain of attraction max-stable distribution spectral measure tail dependence
2012/4/17
Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theo...
Tail Asymptotic of Sum and Product of Random Variables with Applications in the Theory of Extremes of Conditionally Gaussian Processes
tail asymptotic Laplace method self-similar processes Gaussian processes locally stationary processes
2011/9/15
Abstract: We consider two independent random variables with the given tail asymptotic (e.g. power or exponential). We find tail asymptotic for their sum and product. This is done by some cumbersome bu...
Subsampling weakly dependent times series and application to extremes
dependent times series extremes
2010/11/30
This paper provides extensions of the work on subsampling by Bertail et al. (2004) for strongly
mixing case to weakly dependent case by application of the results of Doukhan and Louhichi (1999).We in...