On the estimation and application of max-stable processes
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Cited in
(33)- Models for stationary max-stable random fields
- A peak-over-threshold search method for global optimization
- Estimating the extremal index through local dependence
- Malliavin-based multilevel Monte Carlo estimators for densities of max-stable processes
- Mark to market value at risk
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Models for autoregressive processes of bounded counts: how different are they?
- Multivariate max-stable processes and homogeneous functionals
- On the distribution of a max-stable process conditional on max-linear functionals
- Extremal properties of M4 processes
- Efficient estimation and particle filter for max-stable processes
- Generalized madogram and pairwise dependence of maxima over two regions of a random field.
- On the structure and representations of max-stable processes
- Copula structured M4 processes with application to high-frequency financial data
- A Spatial Markov Model for Climate Extremes
- Max-stable processes for modeling extremes observed in space and time
- Extremal behavior of pMAX processes
- The behavior of multivariate maxima of moving maxima processes
- Conditional sampling for max-stable processes with a mixed moving maxima representation
- Long range dependence for stable random processes
- Statistical methods for assessing the contagion of spatial extreme events among regions
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- Multivariate extremes and max-stable processes: discussion of the paper by Zhengjun Zhang
- Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”
- New extreme value theory for maxima of maxima
- An extended sparse max-linear moving model with application to high-frequency financial data
- Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to extreme value index estimation
- On approximating max-stable processes and constructing extremal copula functions
- Max-Linear Competing Factor Models
- Decoupling systemic risk into endopathic and exopathic competing risks through autoregressive conditional accelerated Fréchet model
- Exceedance probability of the integral of a stochastic process
- Maxima of moving maxima of continuous functions
- A hierarchical max-stable spatial model for extreme precipitation
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