| Publication | Date of Publication | Type |
|---|
Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence
(available as arXiv preprint) | N/A | Paper |
Simulation of multivariate extremes: a Wasserstein-Aitchison GAN approach
Extremes | 2026-06-26 | Paper |
Tail Calibration of Probabilistic Forecasts
Journal of the American Statistical Association | 2026-01-07 | Paper |
X-vine models for multivariate extremes
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2025-10-24 | Paper |
| An asymptotic expansion of the empirical angular measure for bivariate extremal dependence | 2025-08-08 | Paper |
Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions
Journal of the American Statistical Association | 2025-06-17 | Paper |
Multivariate generalized Pareto distributions along extreme directions
Extremes | 2025-06-16 | Paper |
Speeding up Monte Carlo integration: control neighbors for optimal convergence
Bernoulli | 2025-02-25 | Paper |
Concentration bounds for the empirical angular measure with statistical learning applications
Bernoulli | 2024-11-12 | Paper |
Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
Technometrics | 2024-10-18 | Paper |
Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
Advances in Applied Probability | 2024-05-29 | Paper |
Testing parametric models for the angular measure for bivariate extremes
(available as arXiv preprint) | 2024-01-01 | Paper |
Multivariate extreme value theory
(available as arXiv preprint) | 2024-01-01 | Paper |
| Multivariate generalized Pareto distributions along extreme directions | 2023-11-08 | Paper |
Extremes of Markov random fields on block graphs: max-stable limits and structured Hüsler-Reiss distributions
Extremes | 2023-08-22 | Paper |
Tail inference using extreme U-statistics
Electronic Journal of Statistics | 2023-05-31 | Paper |
Tail inference using extreme U-statistics
Electronic Journal of Statistics | 2023-05-31 | Paper |
| An asymptotic expansion of the empirical angular measure for bivariate extremal dependence | 2023-05-26 | Paper |
Risk bounds when learning infinitely many response functions by ordinary linear regression
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2023-02-28 | Paper |
Uniform concentration bounds for frequencies of rare events
Statistics & Probability Letters | 2022-08-30 | Paper |
| Graphical and uniform consistency of estimated optimal transport plans | 2022-08-04 | Paper |
| Modelling multivariate extreme value distributions via Markov trees | 2022-07-29 | Paper |
| Invariance properties of limiting point processes and applications to clusters of extremes | 2022-07-22 | Paper |
Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
Journal of Computational and Graphical Statistics | 2022-03-28 | Paper |
Measuring dependence between random vectors via optimal transport
Journal of Multivariate Analysis | 2022-03-01 | Paper |
Control variate selection for Monte Carlo integration
Statistics and Computing | 2021-12-09 | Paper |
Empirical tail copulas for functional data
The Annals of Statistics | 2021-12-03 | Paper |
Empirical tail copulas for functional data
The Annals of Statistics | 2021-12-03 | Paper |
Maxima and near-maxima of a Gaussian random assignment field
Statistics & Probability Letters | 2021-11-12 | Paper |
Inference on extremal dependence in the domain of attraction of a structured Hüsler-Reiss distribution motivated by a Markov tree with latent variables
Extremes | 2021-09-29 | Paper |
Multivariate goodness-of-fit tests based on Wasserstein distance
Electronic Journal of Statistics | 2021-08-09 | Paper |
One- versus multi-component regular variation and extremes of Markov trees
Advances in Applied Probability | 2021-08-04 | Paper |
Risk bounds when learning infinitely many response functions by ordinary linear regression
(available as arXiv preprint) | 2020-06-16 | Paper |
Monte Carlo integration with a growing number of control variates
Journal of Applied Probability | 2019-12-17 | Paper |
Identifying groups of variables with the potential of being large simultaneously
Extremes | 2019-07-04 | Paper |
| Resampling Procedures with Empirical Beta Copulas | 2019-05-29 | Paper |
An M-estimator of spatial tail dependence
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-05-09 | Paper |
Non-parametric Bayesian inference on bivariate extremes
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-04-30 | Paper |
On the longest gap between power-rate arrivals
Bernoulli | 2019-01-28 | Paper |
On the longest gap between power-rate arrivals
Bernoulli | 2019-01-28 | Paper |
An estimator of the stable tail dependence function based on the empirical beta copula
Extremes | 2018-12-20 | Paper |
| Tails of optimal transport plans for regularly varying probability measures | 2018-11-29 | Paper |
Nonparametric estimation of the tree structure of a nested Archimedean copula
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Nonparametric estimation of pair-copula constructions with the empirical pair-copula
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Comments on ``Human life is unlimited -- but short'' by H. Rootzén and D. Zholud
Extremes | 2018-10-12 | Paper |
Marginal standardization of upper semicontinuous processes with application to MAX-stable processes
Journal of Applied Probability | 2018-09-26 | Paper |
A continuous updating weighted least squares estimator of tail dependence in high dimensions
Extremes | 2018-08-03 | Paper |
On the weak convergence of the empirical conditional copula under a simplifying assumption
Journal of Multivariate Analysis | 2018-05-17 | Paper |
Weak convergence of the weighted empirical beta copula process
Journal of Multivariate Analysis | 2018-05-17 | Paper |
Inference for heavy tailed stationary time series based on sliding blocks
Electronic Journal of Statistics | 2018-04-25 | Paper |
Inference for heavy tailed stationary time series based on sliding blocks
Electronic Journal of Statistics | 2018-04-25 | Paper |
Multivariate peaks over thresholds models
Extremes | 2018-04-16 | Paper |
Multivariate generalized Pareto distributions: parametrizations, representations, and properties
Journal of Multivariate Analysis | 2018-04-12 | Paper |
Multivariate generalized Pareto distributions: parametrizations, representations, and properties
Journal of Multivariate Analysis | 2018-04-12 | Paper |
On the maximum likelihood estimator for the generalized extreme-value distribution
Extremes | 2018-01-31 | Paper |
Polar decomposition of regularly varying time series in star-shaped metric spaces
Extremes | 2018-01-26 | Paper |
Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series
Bernoulli | 2017-09-21 | Paper |
Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series
Bernoulli | 2017-09-21 | Paper |
A continuous updating weighted least squares estimator of tail dependence in high dimensions
Extremes | 2017-08-31 | Paper |
Nonparametric estimation of extremal dependence
(available as arXiv preprint) | 2017-07-04 | Paper |
Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
Journal of Statistical Planning and Inference | 2017-04-01 | Paper |
The empirical beta copula
Journal of Multivariate Analysis | 2017-02-23 | Paper |
The empirical beta copula
Journal of Multivariate Analysis | 2017-02-23 | Paper |
Multivariate nonparametric estimation of the Pickands dependence function using Bernstein polynomials
Journal of Statistical Planning and Inference | 2017-01-19 | Paper |
Nonparametric inference for max-stable dependence
Statistical Science | 2016-02-16 | Paper |
Nonparametric inference for max-stable dependence
Statistical Science | 2016-02-16 | Paper |
Statistics for tail processes of Markov chains
Extremes | 2015-09-24 | Paper |
| scientific article; zbMATH DE number 6441112 (Why is no real title available?) | 2015-05-29 | Paper |
Max-factor individual risk models with application to credit portfolios
Insurance Mathematics & Economics | 2015-05-26 | Paper |
Hybrid copula estimators
Journal of Statistical Planning and Inference | 2015-05-15 | Paper |
Extreme value copula estimation based on block maxima of a multivariate stationary time series
Extremes | 2015-01-23 | Paper |
Semiparametric Gaussian copula models: geometry and efficient rank-based estimation
The Annals of Statistics | 2014-12-12 | Paper |
Detecting changes in cross-sectional dependence in multivariate time series
Journal of Multivariate Analysis | 2014-11-01 | Paper |
When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
The Annals of Statistics | 2014-10-17 | Paper |
When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs
The Annals of Statistics | 2014-10-17 | Paper |
MAX-stable models for multivariate extremes
REVSTAT | 2014-10-13 | Paper |
MAX-stable models for multivariate extremes
REVSTAT | 2014-10-13 | Paper |
Detecting changes in cross-sectional dependence in multivariate time series
Journal of Multivariate Analysis | 2014-10-08 | Paper |
Measuring association and dependence between random vectors
Journal of Multivariate Analysis | 2014-01-13 | Paper |
A Euclidean Likelihood Estimator for Bivariate Tail Dependence
Communications in Statistics: Theory and Methods | 2013-06-13 | Paper |
A sliding blocks estimator for the extremal index
Electronic Journal of Statistics | 2013-05-27 | Paper |
A sliding blocks estimator for the extremal index
Electronic Journal of Statistics | 2013-05-27 | Paper |
An M-estimator for tail dependence in arbitrary dimensions
The Annals of Statistics | 2012-12-10 | Paper |
An M-estimator for tail dependence in arbitrary dimensions
The Annals of Statistics | 2012-12-10 | Paper |
A functional limit theorem for dependent sequences with infinite variance stable limits
The Annals of Probability | 2012-11-29 | Paper |
A functional limit theorem for dependent sequences with infinite variance stable limits
The Annals of Probability | 2012-11-29 | Paper |
Comments on: Inference in multivariate Archimedean copula models
Test | 2012-11-15 | Paper |
Nonparametric estimation of multivariate extreme-value copulas
Journal of Statistical Planning and Inference | 2012-09-21 | Paper |
Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
Bernoulli | 2012-08-09 | Paper |
Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
Bernoulli | 2012-08-09 | Paper |
Risk concentration and diversification: second-order properties
Insurance Mathematics & Economics | 2012-02-10 | Paper |
Large-sample tests of extreme-value dependence for multivariate copulas
The Canadian Journal of Statistics | 2011-12-28 | Paper |
Erratum to: Extremal indices, geometric ergodicity of Markov chains, and MCMC
Extremes | 2011-11-27 | Paper |
Tails of correlation mixtures of elliptical copulas
Insurance Mathematics & Economics | 2011-08-01 | Paper |
Erratum to: ``Regularly varying multivariate time series''
Stochastic Processes and their Applications | 2011-06-15 | Paper |
Generalised regular variation of arbitrary order
Banach Center Publications | 2011-03-21 | Paper |
Nonparametric estimation of an extreme-value copula in arbitrary dimensions
Journal of Multivariate Analysis | 2010-11-25 | Paper |
On the covariance of the asymptotic empirical copula process
Journal of Multivariate Analysis | 2010-06-25 | Paper |
| Regularly varying time series in Banach spaces | 2010-01-19 | Paper |
| Extreme-Value Copulas | 2009-11-05 | Paper |
Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion
The Annals of Statistics | 2009-08-19 | Paper |
Rank-based inference for bivariate extreme-value copulas
The Annals of Statistics | 2009-08-19 | Paper |
Tails of multivariate Archimedean copulas
Journal of Multivariate Analysis | 2009-06-09 | Paper |
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
Journal of Statistical Planning and Inference | 2009-06-09 | Paper |
Regularly varying multivariate time series
Stochastic Processes and their Applications | 2009-05-06 | Paper |
A method of moments estimator of tail dependence
Bernoulli | 2009-03-02 | Paper |
Projection estimators of Pickands dependence functions
The Canadian Journal of Statistics | 2009-01-15 | Paper |
Tails of random sums of a heavy-tailed number of light-tailed terms
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Convergence of Archimedean copulas
Statistics & Probability Letters | 2008-03-26 | Paper |
Extremal indices, geometric ergodicity of Markov chains and MCMC
Extremes | 2007-12-16 | Paper |
Lower tail dependence for Archimedean copulas: characterizations and pitfalls
Insurance Mathematics & Economics | 2007-05-23 | Paper |
Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
Bernoulli | 2007-05-15 | Paper |
| Multivariate regular variation of heavy-tailed Markov chains | 2007-01-15 | Paper |
Rare events, temporal dependence, and the extremal index
Journal of Applied Probability | 2006-11-16 | Paper |
