Limit theory for multivariate sample extremes

Cites work

A form of regular variation and its application to the domain of attraction of the double exponential distribution
Bivariate extreme statistics. I
Extremal Processes
scientific article; zbMATH DE number 3820920 (Why is no real title available?)
scientific article; zbMATH DE number 3338196 (Why is no real title available?)
scientific article; zbMATH DE number 3359478 (Why is no real title available?)
Max-infinite divisibility
Order Statistics of Samples from Multivariate Distributions
Sur la distribution limite du terme maximum d'une série aléatoire
The structure of extremal processes
Weak limits of sample range

Cited in

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Estimation of bivariate excess probabilities for elliptical models
It was 30 years ago today when Laurens de Haan went the multivariate way
Extremal financial risk models and portfolio evaluation
The estimation of M4 processes with geometric moving patterns
Stationary min-stable stochastic processes
Supremum self-decomposable random vectors
Markov chains generated by maximizing components of multidimensional extremal processes
Joint stable attraction of two sums of products
Selfdecomposable distributions for maxima of independent random vectors
Limit properties for multivariate extreme values in sequences of independent, non-identically distributed random vectors
On the observation closest to the origin
Rates of convergence in multivariate extreme value theory
Multivariate subexponential distributions
Derivatives of regularly varying functions in \(R^d\) and domains of attraction of stable distributions
A bivariate stable characterization and domains of attraction
max-infinitely divisible and max-stable sample continuous processes
Estimating the spectral measure of an extreme value distribution
On domains of attraction of multivariate extreme value distributions under absolute continuity
Hutchinson -- Lai's conjecture for bivariate extreme value copulas.
Test of association between multivariate stable vectors.
An estimator of the stable tail dependence function based on the empirical beta copula
Time-varying extreme value dependence with application to leading European stock markets
A Bayesian hierarchical model for spatial extremes with multiple durations
Leader and maximum independence for a class of discrete choice models
A comparison of dependence function estimators in multivariate extremes
On estimating extremal dependence structures by parametric spectral measures
Multivariate order statistics: the intermediate case
Extreme-value copulas associated with the expected scaled maximum of independent random variables
Extremes for multivariate expectiles
On Pickands coordinates in arbitrary dimensions
On the distribution of Pickands coordinates in bivariate EV and GP models
Extreme value theory for multivariate stationary sequences
Nonparametric estimation of the spectral measure of an extreme value distribution.
On convergence toward an extreme value distribution in \(C[0,1]\)
Estimating asymptotic dependence functionals in multivariate regularly varying models
Estimation of the coefficient of tail dependence in bivariate extremes
Estimating the probability of a rare event
On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
Generalized Pareto copulas: a key to multivariate extremes
Archimedean copulas with applications to VaR estimation
Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks
A horse race between the block maxima method and the peak-over-threshold approach
Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
Extremes and regular variation
Total positivity of copulas from a Markov kernel perspective
Regression-type analysis for multivariate extreme values
On the estimation and application of max-stable processes
Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution
On second order conditions in the multivariate block maxima and peak over threshold method
A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas
Bayesian inference with \(M\)-splines on spectral measure of bivariate extremes
Bi-free extreme values
Semiparametric bivariate modelling with flexible extremal dependence
Canonical spectral representation for exchangeable max-stable sequences
On functional records and champions
The space of \(D\)-norms revisited
Asymptotically distribution-free goodness-of-fit testing for tail copulas
Hybrid copula estimators
An exceptional max-stable process fully parameterized by its extremal coefficients
On the construction of low-parametric families of min-stable multivariate exponential distributions in large dimensions
Estimating extreme bivariate quantile regions
Extreme behavior of multivariate phase-type distributions
A moment-based test for extreme-value dependence
Sparse representation of multivariate extremes with applications to anomaly detection
Quotient correlation: a sample based alternative to Pearson's correlation
Self-consistent estimation of conditional multivariate extreme value distributions
Limit laws for random vectors with an extreme component
Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes
Nonparametric estimation of the dependence function for a multivariate extreme value distribution
Peaks-over-threshold stability of multivariate generalized Pareto distributions
Dependence estimation and visualization in multivariate extremes with applications to financial data
Spatial extremes: models for the stationary case
Multiple block sizes and overlapping blocks for multivariate time series extremes
On the effect of long-range dependence on extreme value copula estimation with fixed marginals
Toward a copula theory for multivariate regular variation
Risk measures and multivariate extensions of Breiman's theorem
Extreme residual dependence for random vectors and processes
An alternative point process framework for modeling multivariate extreme values
MULTIVARIATE STABLE FUTURES PRICES
The Extremal Dependence Measure and Asymptotic Independence
Fighting the arch–enemy with mathematics‘
Bayesian Model Averaging Over Tree-based Dependence Structures for Multivariate Extremes
Limiting dependence structures for tail events, with applications to credit derivatives
On generalized max-linear models and their statistical interpolation
Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws
Some Related Minima Stability and Minima Infinite Divisibility of the General Multivariate Pareto Distributions
On the Tail Behavior of Sums of Dependent Risks
Dense classes of multivariate extreme value distributions
Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
Extremal behavior of pMAX processes
Weighted approximations of tail copula processes with application to testing the bivariate extreme value condition
A folding methodology for multivariate extremes: estimation of the spectral probability measure and actuarial applications
On generalized max-linear models in max-stable random fields
On the foundations of multivariate heavy-tail analysis
Nonparametric estimation of the spectral measure, and associated dependence measures, for multivariate extreme values using a limiting conditional representation
Geostatistics of dependent and asymptotically independent extremes
Mass distributions of two-dimensional extreme-value copulas and related results
Subordinators which are infinitely divisible w.r.t. time: construction, properties, and simulation of max-stable sequences and infinitely divisible laws
Heavy tails of OLS
How to model multivariate extremes if one must?

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