Conditional independence, graphical models and sparsity are key notions for parsimonious
statistical models and for understanding the structural relationships in the data. The theory of …

We develop a trade model with correlation in productivity across countries. The model spans
the full class of generalized extreme value import demand systems and implies that …

Exact simulation of Brown-Resnick random fields at a finite number of locations Page 1
Extremes (2015) 18:301–314 DOI 10.1007/s10687-015-0214-4 Exact simulation of Brown-Resnick …

History: The latest developments of extreme value theory focus on the functional framework
and much effort has been put in the theory of max-stable processes and functional regular …

Conditional independence and graphical models are well studied for probability
distributions on product spaces. We propose a new notion of conditional independence for …

Brown–Resnick processes form a flexible class of stationary max-stable processes based on
Gaussian random fields. With regard to applications, fast and accurate simulation of these …

The goal of this paper is two-fold:(1) We review classical and recent measures of serial
extremal dependence in a strictly stationary time series as well as their estimation.(2) We …

We develop a Ricardian model of trade where countries innovate ideas that diffuse globally.
Our key result provides necessary and sufficient conditions for innovation and diffusion to …

We re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as
reciprocal of the expected size of an extremal cluster above high thresholds. We focus on …

We develop classification results for max-stable processes, based on their spectral
representations. The structure of max-linear isometries and minimal spectral representations …