Johan Segers
- Regularly varying multivariate time series
2007/07/26 by Bojan Basrak, Johan Segers, Basrak, Bojan +1 · 5 citations
Computer Science · Economics, Econometrics and Finance · Mathematics · #60F05 (Primary) #60G70 (Secondary) #Bayesian Methods and Mixture Models #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistical Methods and Inference #Statistics Theory (math.ST)
- Polar decomposition of regularly varying time series in star-shaped\n metric spaces
2016/04/01 by Johan Segers, Yuwei Zhao, Segers, Johan +3 · 3 citations
Earth and Planetary Sciences · Mathematics · #60G60 (Secondary) #60G70 (Primary) #FOS: Mathematics #Geophysics and Gravity Measurements #Probability (math.PR) #Statistical and numerical algorithms
- Multivariate generalized Pareto distributions: parametrizations,\n representations, and properties
2017/05/22 by Holger Rootzén, Rootzén, Holger, Johan Segers +3 · 3 citations
Mathematics · Economics, Econometrics and Finance · Decision Sciences · #Statistical Distribution Estimation and Applications #Financial Risk and Volatility Modeling #Probabilistic and Robust Engineering Design
- Measuring dependence between random vectors via optimal transport
2021/04/28 by Gilles Mordant, Mordant, Gilles, Johan Segers +1 · 2 citations
Mathematics · #62H20 #Advanced Statistical Methods and Models #FOS: Mathematics #Point processes and geometric inequalities #Statistical Methods and Inference #Statistics Theory (math.ST)
- Tails of random sums of a heavy-tailed number of light-tailed terms
2007/03/01 by Christian Y. Robert, Johan Segers, Robert, Christian Y. +1 · 1 citation
Computer Science · Decision Sciences · Mathematics · #60E05 #60F10 #60G50 #60G70 #Bayesian Methods and Mixture Models #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Statistical Finance (q-fin.ST) #Stochastic processes and statistical mechanics
- Second-order refined peaks-over-threshold modelling for heavy-tailed distributions
2009/01/12 by Jan Beirlant, Beirlant, Jan, Elisabeth Joossens +3 · 1 citation
Economics, Econometrics and Finance · Environmental Science · Mathematics · #62F12 #62G30 (Secondary) #62G32 (Primary) #FOS: Mathematics #Financial Risk and Volatility Modeling #Hydrology and Drought Analysis #Statistical Distribution Estimation and Applications #Statistics Theory (math.ST)
- Nonparametric Bayesian Inference on Bivariate Extremes
2009/11/17 by Simon Guillotte, François Perron, Guillotte, Simon +3 · 1 citation
Economics, Econometrics and Finance · Social Sciences · Mathematics · #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Statistical Distribution Estimation and Applications
- Graphical and uniform consistency of estimated optimal transport plans
2022/08/04 by Johan Segers, Segers, Johan · 2 citations
Computer Science · Mathematics · #49Q22 (Secondary) #62G30 (Primary) #Bayesian Modeling and Causal Inference #FOS: Mathematics #Fuzzy Systems and Optimization #Statistics Theory (math.ST)
- Large-sample tests of extreme-value dependence for multivariate copulas
2011/05/11 by Ivan Kojadinovic, Johan Segers, Kojadinovic, Ivan +3 · 1 citation
Economics, Econometrics and Finance · #62G09 #62G10 #62G30 #62G32 #Credit Risk and Financial Regulations #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Monetary Policy and Economic Impact
- Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence
2023/05/10 by Rémi Leluc, François Portier, Leluc, Rémi +5 · 2 citations
Mathematics · #Computation (stat.CO) #FOS: Computer and information sciences #FOS: Mathematics #Markov Chains and Monte Carlo Methods #Mathematical Approximation and Integration #Numerical Analysis (math.NA) #Statistical Methods and Inference #Statistics Theory (math.ST)
- The Empirical Beta Copula
2016/07/15 by Johan Segers, Segers, Johan, Masaaki Sibuya +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Distribution Estimation and Applications #Statistical Methods and Inference #Statistics Theory (math.ST)
- Inference for heavy tailed stationary time series based on sliding\n blocks
2017/06/06 by Axel Bücher, Johan Segers, Bücher, Axel +1 · 1 citation
Economics, Econometrics and Finance · #62G32 #Complex Systems and Time Series Analysis #FOS: Mathematics #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Statistics Theory (math.ST)
- Statistical Inference for Hüsler-Reiss Graphical Models Through Matrix Completions
2022/10/25 by Manuel Hentschel, Sebastian Engelke, Hentschel, Manuel +3 · 2 citations
Computer Science · Economics, Econometrics and Finance · Mathematics · #Bayesian Modeling and Causal Inference #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistical Distribution Estimation and Applications
- Statistics for Tail Processes of Markov Chains
2014/05/29 by Holger Drees, Drees, Holger, Johan Segers +3 · 1 citation
Economics, Econometrics and Finance · #Financial Risk and Volatility Modeling #Complex Systems and Time Series Analysis #Stochastic processes and financial applications
- Estimating the Hüsler--Reiss variogram matrix by clipped moments
2026/07/22 by Shuang Hu, Johan Segers
#math.ST #stat.TH