## 10 Citations

### Inference for Archimax copulas

- Mathematics
- 2020

Archimax copula models can account for any type of asymptotic dependence between extremes and at the same time capture joint risks at medium levels. An Archimax copula is characterized by two…

### Simple models for multivariate regular variation and the Hüsler-Reiß Pareto distribution

- MathematicsJ. Multivar. Anal.
- 2019

### Extreme-value copulas associated with the expected scaled maximum of independent random variables

- MathematicsJ. Multivar. Anal.
- 2018

### Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs

- Computer ScienceComput. Stat. Data Anal.
- 2021

### Inference and Sampling for Archimax Copulas

- Computer ScienceArXiv
- 2022

A non-parametric inference method and sampling algorithm that effectively extrapolates to the tails while scaling to higher dimensional data is developed and compared to state-of-the-art density modeling techniques.

### Extremal dependence of random scale constructions

- MathematicsExtremes
- 2019

A bivariate random vector can exhibit either asymptotic independence or dependence between the largest values of its components. When used as a statistical model for risk assessment in fields such as…

### Contributions to Likelihood-Based Modelling of Extreme Values

- Mathematics
- 2019

Extreme value analysis is concerned with the modelling of extreme events such as floods and heatwaves, which can have large impacts. Statistical modelling can be useful to better assess risks even…

### Modelling extreme rain accumulation with an application to the 2011 Lake Champlain flood

- Environmental ScienceJournal of the Royal Statistical Society: Series C (Applied Statistics)
- 2019

A simple strategy is proposed to model total accumulation in non‐overlapping clusters of extreme values from a stationary series of daily precipitation. Assuming that each cluster contains at least…

### A modeler's guide to extreme value software

- Computer Science
- 2022

The intention, rather than to solely provide a catalog of existing software, is to discuss and compare existing implementations of statistical methods and to highlight numerical issues that are of practical importance yet are not typically discussed in theoretical or methodological papers.

### Contributions aux algorithmes stochastiques pour le Big Data et à la théorie des valeurs extrèmes multivariés.

- Physics
- 2018

La these comporte deux parties distinctes. La premiere partie concerne des modeles pour les extremes multivaries.On donne une construction de vecteurs aleatoires multivaries a variations regulieres.…

## References

SHOWING 1-10 OF 46 REFERENCES

### Extremal behavior of Archimedean copulas

- Computer ScienceAdvances in Applied Probability
- 2011

We show how the extremal behavior of d-variate Archimedean copulas can be deduced from their stochastic representation as the survival dependence structure of an ℓ1-symmetric distribution (see McNeil…

### A Note on Upper Tail Behavior of Liouville Copulas

- Computer Science
- 2016

Tail orders of a more general scale mixture model that covers Liouville distributions is first derived, and then tail order functions and tail order density functions ofLiouville copulas are derived.

### A Note on Upper Tail Behavior of Liouville Copulas

- Computer Science
- 2016

Tail orders of a more general scale mixture model that covers Liouville distributions is first derived, and then tail order functions and tail order density functions ofLiouville copulas are derived.

### Multivariate Archimedean copulas, $d$-monotone functions and $\ell_1$-norm symmetric distributions

- Computer Science, Mathematics
- 2009

It is shown that a necessary and sufficient condition for an Archimedean copula generator to generate a $d$-dimensional copula is that the generator is a $d$-monotone function. The class of…

### Assessing and Modeling Asymmetry in Bivariate Continuous Data

- Mathematics
- 2013

A bivariate copula is the cumulative distribution function of a pair (U, V ) of uniform random variables. This copula is said to be symmetric if and only if (V, U) and (U, V ) have the same…

### Estimation of Hüsler–Reiss distributions and Brown–Resnick processes

- Mathematics
- 2012

Estimation of extreme value parameters from observations in the max‐domain of attraction of a multivariate max‐stable distribution commonly uses aggregated data such as block maxima. Multivariate…

### Exact simulation of max-stable processes.

- Mathematics, Computer ScienceBiometrika
- 2016

This work presents a new algorithm for exact simulation of a max-stable process at a finite number of locations that relies on the idea of simulating only the extremal functions, that is, those functions in the construction of a Maximum Stable Process that effectively contribute to the pointwise maximum.

### High-dimensional peaks-over-threshold inference for the Brown-Resnick process

- Mathematics
- 2016

Max-stable processes are increasingly widely used for modelling complex extreme events, but classical fitting methods are computationally demanding, limiting applications to a few dozen variables.…