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01/17/2022
Statistical Inference on a Changing Extremal Dependence Structure
We analyze the extreme value dependence of independent, not necessarily ...
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03/15/2021
Cluster based inference for extremes of time series
We introduce a new type of estimator for the spectral tail process of a ...
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03/02/2020
Asymptotics for sliding blocks estimators of rare events
Drees and Rootzén (2010) have established limit theorems for a general c...
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06/26/2019
Principal Component Analysis for Multivariate Extremes
The first order behavior of multivariate heavy-tailed random vectors abo...
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01/16/2019
Peak-over-Threshold Estimators for Spectral Tail Processes: Random vs Deterministic Thresholds
The extreme value dependence of regularly varying stationary time series...
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11/15/2018