Functional regular variations, Pareto processes and peaks over threshold

By Clément Dombry, Mathieu Ribatet. 2015

83 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/838619dc193626b17de1d282ad321cb37bf98497

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Thomas Opitz
2. Raphaël Huser
3. Emeric Thibaud
4. A. C. Davison
5. Jennifer L. Wadsworth
6. Mathieu Ribatet
7. Raphaël de Fondeville
8. Marc G. Genton

In Statistics and Probability

1. Thomas Opitz
2. A. C. Davison
3. Emeric Thibaud
4. Jennifer L. Wadsworth
5. Raphaël de Fondeville
6. Raphaël Huser
7. Jonathan A. Tawn
8. Mathieu Ribatet

Citations in the corpus

• Spatial extremes: Max-stable processes at work (2013, background): “Although some simple representations have been found Buishand et al. (2008); Aulbach et al. (2012); de Haan and Ferreira (2012); Dombry and Ribatet (2013), we are far from being able to use generalized Pareto processes for concrete applications.”
• High-dimensional peaks-over-threshold inference (2018, methodology): “Modelling exceedances can be generalized to a multivariate setting (Rootzén and Tajvidi, 2006) and to continuous processes (Ferreira and de Haan, 2014; Dombry and Ribatet, 2015) within the functional regular variation framework.”
• Modelling across extremal dependence classes (2014, background): “In fact the convexity property does not appear necessary, and some recent articles on multivariate extremes have shifted focus on to positive homogeneous functions rather than norms (e.g. Dombry and Ribatet, 2015; Scheffler and Stoev, 2015).”
• Functional peaks‐over‐threshold analysis (2020, methodology): “This offers a general, flexible, unified and widely applied model for the distribution tails that has been extended to multivariate settings (Rootzén & Tajvidi, 2006; Rootzén et al., 2018a,b) and to continuous processes (Dombry & Ribatet, 2015; Ferreira & de Haan, 2014).”
• Efficient inference and simulation for elliptical Pareto processes (2013, methodology): “2 Functional extreme value theory 2.1 `-Pareto processes We first recall and clarify notions of functional convergence, with particular attention to the notion of an `-Pareto process (Dombry & Ribatet, 2013).”