Extreme Value Theory (EVT) offers a rigorous framework for the statistical analysis of rare, high-impact events by focusing on the tail behaviour of distributions. This theory underpins methodologies ...

We propose a multivariate extreme value threshold model for joint tail estimation which overcomes the problems encountered with existing techniques when the variables are near independence. We examine ...

Starting from the characterization of extreme-value copulas based on max-stability, largesample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the ...

Extreme value theory is a branch of stochastics that deals with the maxima and minima of random variables, records and extremely rare events. Maxima and minima of random variables play an important ...

The techniques of 100-level calculus are applied and extended in the study of infinite series, vector-valued functions and functions of two or more variables. Topics include convergence of power ...