X-vine models for multivariate extremes
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Cites work
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- A continuous updating weighted least squares estimator of tail dependence in high dimensions
- A geometric investigation into the tail dependence of vine copulas
- A method of moments estimator of tail dependence
- Analyzing dependent data with vine copulas. A practical guide with R
- Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
- Extremal attractors of Liouville copulas
- Extremal dependence of copulas: a tail density approach
- Families of min-stable multivariate exponential and multivariate extreme value distributions
- From Archimedean to Liouville copulas
- Geometric interpretation of the residual dependence coefficient
- Graphical Models for Extremes
- Heavy-Tail Phenomena
- scientific article; zbMATH DE number 3152042 (Why is no real title available?)
- scientific article; zbMATH DE number 469373 (Why is no real title available?)
- Limit theory for multivariate sample extremes
- Max-linear models on directed acyclic graphs
- Maxima of normal random vectors: Between independence and complete dependence
- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
- Modelling multivariate extreme value distributions via Markov trees
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate generalized Pareto distributions
- Non-parametric Estimation of Tail Dependence
- Nonparametric estimation of the spectral measure of an extreme value distribution.
- On uniform tail expansions of multivariate copulas and wide convergence of measures
- One- versus multi-component regular variation and extremes of Markov trees
- Parameter estimation for pair-copula constructions
- Parametric tail copula estimation and model testing
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Regular vines with strongly chordal pattern of (conditional) independence
- Remarks on a Multivariate Transformation
- Sampling, conditionalizing, counting, merging, searching regular vines
- Selecting and estimating regular vine copulae and application to financial returns
- Selection of sparse vine copulas in high dimensions with the Lasso
- Statistical Inference for Hüsler–Reiss Graphical Models Through Matrix Completions
- Statistics for near independence in multivariate extreme values
- Statistics of Extremes
- Structure Learning for Extremal Tree Models
- Tail dependence functions and vine copulas
- Truncated regular vines in high dimensions with application to financial data
- Truncation of vine copulas using fit indices
- Vines -- a new graphical model for dependent random variables.
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