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05/17/2023
Long Memory of Max-Stable Time Series as Phase Transition: Asymptotic Behaviour of Tail Dependence Estimators
In this paper, we consider a simple estimator for tail dependence coeffi...
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03/07/2023
Extremes in High Dimensions: Methods and Scalable Algorithms
Extreme-value theory has been explored in considerable detail for univar...
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12/22/2022
Non-stationary max-stable models with an application to heavy rainfall data
In recent years, parametric models for max-stable processes have become ...
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12/21/2022
Patterns in Spatio-Temporal Extremes
In environmental science applications, extreme events frequently exhibit...
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06/21/2022
L_p-norm spherical copulas
In this paper we study L_p-norm spherical copulas for arbitrary p ∈ [1,∞...
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04/12/2022
Detection of Long Range Dependence in the Time Domain for (In)Finite-Variance Time Series
Empirical detection of long range dependence (LRD) of a time series ofte...
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12/27/2021
Evaluation of binary classifiers for asymptotically dependent and independent extremes
Machine learning classification methods usually assume that all possible...
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10/08/2020
Estmiation of the Spectral Measure from Convex Combinations of Regularly Varying Random Vectors
The extremal dependence structure of a regularly varying random vector X...
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03/12/2020
Spatial Modeling of Heavy Precipitation by Coupling Weather Station Recordings and Ensemble Forecasts with Max-Stable Processes
Due to complex physical phenomena, the distribution of heavy rainfall ev...
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02/25/2019
Sampling Sup-Normalized Spectral Functions for Brown-Resnick Processes
Sup-normalized spectral functions form building blocks of max-stable and...
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02/04/2019
Ordinal Patterns in Clusters of Subsequent Extremes of Regularly Varying Time Series
In this paper, we investigate temporal clusters of extremes defined as s...
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09/24/2018
A comparative tour through the simulation algorithms for max-stable processes
Max-stable processes form a fundamental class of stochastic processes in...
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12/28/2017