Zobrazeno 1 - 10
of 177
pro vyhledávání: '"Claudia Klüppelberg"'
Publikováno v:
Extremes. 25:721-758
We provide a new extension of Breiman's Theorem on computing tail probabilities of a product of random variables to a multivariate setting. In particular, we give a complete characterization of regular variation on cones in $[0,\infty)^d$ under rando
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7b150afd89d8652b380a8bfac3247c16
https://doi.org/10.1007/s10687-021-00432-4
https://doi.org/10.1007/s10687-021-00432-4
Publikováno v:
Lecture Notes in Mathematics ISBN: 9783031122439
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1adb941204ed271a57e3f0fbf4c38893
https://doi.org/10.1007/978-3-031-12244-6_10
https://doi.org/10.1007/978-3-031-12244-6_10
Publikováno v:
Journal of Applied Probability. 57:760-774
For independent exponentially distributed random variables $X_i$ , $i\in {\mathcal{N}}$ , with distinct rates ${\lambda}_i$ we consider sums $\sum_{i\in\mathcal{A}} X_i$ for $\mathcal{A}\subseteq {\mathcal{N}}$ which follow generalized exponential mi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d84142b3776db679ea77a428cb5edf95
https://doi.org/10.1017/jpr.2020.26
https://doi.org/10.1017/jpr.2020.26
Publikováno v:
Gissibl, N, Klüppelberg, C & Lauritzen, S 2021, ' Identifiability and estimation of recursive max-linear models ', Scandinavian Journal of Statistics, vol. 48, no. 1, pp. 188-211 . https://doi.org/10.1111/sjos.12446
We address the identifiability and estimation of recursive max-linear structural equation models represented by an edge weighted directed acyclic graph (DAG). Such models are generally unidentifiable and we identify the whole class of DAGs and edge w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4098e173eea5bcf2025c4c6249bb2c2e
https://doi.org/10.1111/sjos.12446
https://doi.org/10.1111/sjos.12446
Autor:
Viet Son Pham, Claudia Klüppelberg
Publikováno v:
Scandinavian Journal of Statistics. 48:132-163
We estimate model parameters of Lévy‐driven causal continuous‐time autoregressive moving average random fields by fitting the empirical variogram to the theoretical counterpart using a weighted least squares (WLS) approach. Subsequent to derivin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5e25058c7c3809b29daf6c0400b8e11a
https://doi.org/10.1111/sjos.12444
https://doi.org/10.1111/sjos.12444
Autor:
Carsten Chong, Claudia Klüppelberg
Publikováno v:
Stochastic Processes and their Applications. 129:4998-5036
We investigate systems of interacting stochastic differential equations with two kinds of heterogeneity: one originating from different weights of the linkages, and one concerning their asymptotic relevance when the system becomes large. To capture t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::778d548770914dab88ff6ab7536f7db0
https://doi.org/10.1016/j.spa.2018.12.018
https://doi.org/10.1016/j.spa.2018.12.018
Publikováno v:
Finance and Stochastics. 23:795-826
We investigate a financial network of agents holding portfolios of independent light-tailed risky objects whose losses are asymptotically exponentially distributed with distinct tail parameters. We show that the asymptotic distributions of portfolio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4ebcafc56218009158c87cbac631e6ed
https://doi.org/10.1007/s00780-019-00401-7
https://doi.org/10.1007/s00780-019-00401-7
Publikováno v:
Scandinavian Journal of Statistics. 46:765-801
We advocate the use of an Indirect Inference method to estimate the parameter of a COGARCH(1,1) process for equally spaced observations. This requires that the true model can be simulated and a reasonable estimation method for an approximate auxiliar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::07c6d931ada75e321191db0fe7efc392
https://doi.org/10.1111/sjos.12371
https://doi.org/10.1111/sjos.12371
Causal inference for extreme aims to discover cause and effect relation between large observed values of random variables. This is a fundamental problem to in many applications, from finance, engineering risks, nutrition to hydrology, to name a few.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::155f9b4f6e887a93f686d8cef4baa017
https://doi.org/10.5194/egusphere-egu21-341
https://doi.org/10.5194/egusphere-egu21-341
Autor:
Johannes Buck, Claudia Klüppelberg
Recursive max-linear vectors model causal dependence between node variables by a structural equation model, expressing each node variable as a max-linear function of its parental nodes in a directed acyclic graph (DAG) and some exogenous innovation.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e00a1485d95db59469d687e7d6e465b4
http://arxiv.org/abs/2003.00362
http://arxiv.org/abs/2003.00362