Spectral Density Ratio Models for Multivariate Extremes

By Miguel de Carvalho, A. C. Davison. 2014

49 citations recorded by the source corpus.

Subfields: Finance, Global and Planetary Change, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/f06ba14dc2cf03ecda87b9cef5286188c37376f4

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. Sebastian Engelke
3. Adrien Hitz
4. Raphaël Huser
5. Jennifer L. Wadsworth

In Global and Planetary Change

1. Thomas Opitz
2. Sebastian Engelke
3. Adrien Hitz

In Statistics and Probability

1. Adrien Hitz
2. Thomas Opitz
3. Sebastian Engelke
4. Raphaël Huser

Citations in the corpus

• Graphical models for extremes (2018, methodology): “The bivariate Hüsler–Reiss distribution in expression (11) corresponds to the case of log-normal U12 and U 2 1 , but many other parametric and nonparametric examples are available (e.g. Boldi and Davison (2007), Cooley et al. (2010), Ballani and Schlather (2011) and de Carvalho and Davison (2014)).”
• Modeling asymptotically independent spatial extremes based on Laplace random fields (2015, methodology): “However, when modeling and estimating multivariate or spatial extremal behavior from a finite sample of data, we often also need to specify the bulk behavior in the target distribution, see Coles and Tawn (1991); Wadsworth and Tawn (2012); de Carvalho and Davison (2014), for instance.”