Publications (57)
A continuous updating weighted least squares estimator of tail dependence in high dimensions
John H. J. Einmahl, Anna Kiriliouk, Johan Segers
Bayesian inference for bivariate ranks
Simon Guillotte, François Perron, Johan Segers
Tails of random sums of a heavy-tailed number of light-tailed terms
Christian Y. Robert, Johan Segers
Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series
Axel Bücher, Johan Segers
A method of moments estimator of tail dependence
John H. J. Einmahl, Andrea Krajina, Johan Segers
Rank-based inference for bivariate extreme-value copulas
Christian Genest, Johan Segers
Generalised regular variation of arbitrary order
Edward Omey, Johan Segers
Statistics for Tail Processes of Markov Chains
Holger Drees, Johan Segers, MichaÅ WarchoÅ
On the maximum likelihood estimator for the Generalized Extreme-Value distribution
Axel Bücher, Johan Segers
Nonparametric estimation of extremal dependence
Anna Kiriliouk, Johan Segers, Michal Warchol
Nonparametric estimation of the tree structure of a nested Archimedean copula
Johan Segers, Nathan Uyttendaele
Tails of correlation mixtures of elliptical copulas
Hans Manner, Johan Segers
Nonparametric estimation of an extreme-value copula in arbitrary dimensions
Gordon Gudendorf, Johan Segers
Identifying groups of variables with the potential of being large simultaneously
Maël Chiapino, Anne Sabourin, Johan Segers
A Euclidean likelihood estimator for bivariate tail dependence
Miguel de Carvalho, Boris Oumow, Johan Segers +1
On the covariance of the asymptotic empirical copula process
Christian Genest, Johan Segers
Nonparametric estimation of pair-copula constructions with the empirical pair-copula
Ingrid Hobaek Haff, Johan Segers
Polar decomposition of regularly varying time series in star-shaped metric spaces
Johan Segers, Yuwei Zhao, Thomas Meinguet
Large-sample tests of extreme-value dependence for multivariate copulas
Ivan Kojadinovic, Johan Segers, Jun Yan
An M-estimator of spatial tail dependence
John Einmahl, Anna Kiriliouk, Andrea Krajina +1
Weak convergence of the weighted empirical beta copula process
Betina Berghaus, Johan Segers
A functional limit theorem for dependent sequences with infinite variance stable limits
Bojan Basrak, Danijel KrizmaniÄ, Johan Segers
Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
Jan Beirlant, Elisabeth Joossens, Johan Segers
Markov tail chains
Anja JanÃen, Johan Segers
Marginal standardization of upper semicontinuous processes. with application to max-stable processes
Anne Sabourin, Johan Segers
Extreme value copula estimation based on block maxima of a multivariate stationary time series
Axel Bücher, Johan Segers
Extreme-Value Copulas
Gordon Gudendorf, Johan Segers
Bayesian model averaging over tree-based dependence structures for multivariate extremes
Sabrina Vettori, Raphaël Huser, Johan Segers +1
Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution
John H. J. Einmahl, Johan Segers
Tails of multivariate Archimedean copulas
Arthur Charpentier, Johan Segers
Detecting changes in cross-sectional dependence in multivariate time series
Axel Bücher, Ivan Kojadinovic, Tom Rohmer +1
Asymptotics of empirical copula processes under non-restrictive smoothness assumptions
Johan Segers
Regularly varying time series in Banach spaces
Thomas Meinguet, Johan Segers
Multivariate regular variation of heavy-tailed Markov chains
Johan Segers
Tails of optimal transport plans for regularly varying probability measures
Cees de Valk, Johan Segers
On the asymptotic distribution of the mean absolute deviation about the mean
Johan Segers
Multivariate generalized Pareto distributions: parametrizations, representations, and properties
Holger Rootzén, Johan Segers, Jennifer L. Wadsworth
Semiparametric Gaussian copula models: Geometry and efficient rank-based estimation
Johan Segers, Ramon van den Akker, Bas J. M. Werker
Max-factor individual risk models with application to credit portfolios
Michel Denuit, Anna Kiriliouk, Johan Segers
Regularly varying multivariate time series
Bojan Basrak, Johan Segers
When uniform weak convergence fails: Empirical processes for dependence functions and residuals via epi- and hypographs
Axel Bücher, Johan Segers, Stanislav Volgushev
Nonparametric Bayesian Inference on Bivariate Extremes
Simon Guillotte, Francois Perron, Johan Segers
The Empirical Beta Copula
Johan Segers, Masaaki Sibuya, Hideatsu Tsukahara
On the longest gap between power-rate arrivals
Søren Asmussen, Jevgenijs Ivanovs, Johan Segers
Nonparametric estimation of multivariate extreme-value copulas
Gordon Gudendorf, Johan Segers
A Sliding Blocks Estimator for the Extremal Index
Christian Y. Robert, Johan Segers, Christopher A. T. Ferro
Multivariate peaks over thresholds models
Holger Rootzén, Johan Segers, Jennifer L. Wadsworth
Measuring Association between Random Vectors
Oliver Grothe, Friedrich Schmid, Julius Schnieders +1
On the weak convergence of the empirical conditional copula under a simplifying assumption
François Portier, Johan Segers
Risk Concentration and Diversification: Second-Order Properties
Matthias Degen, Dominik D. Lambrigger, Johan Segers
Peaks over thresholds modelling with multivariate generalized Pareto distributions
Anna Kiriliouk, Holger Rootzén, Johan Segers +1
Max-stable models for multivariate extremes
Johan Segers
Hybrid Copula Estimators
Johan Segers
Inference for heavy tailed stationary time series based on sliding blocks
Axel Bücher, Johan Segers
Nonparametric Inference for Max-Stable Dependence
Johan Segers
An estimator of the stable tail dependence function based on the empirical beta copula
Anna Kiriliouk, Johan Segers, Laleh Tafakori
An M-estimator for tail dependence in arbitrary dimensions
John H. J. Einmahl, Andrea Krajina, Johan Segers