Výsledky vyhledávání - "Neblung, Sebastian"

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Tail-dependence, exceedance sets, and metric embeddings

Autor: Janßen, Anja, Neblung, Sebastian, Stoev, Stilian

There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the matrix of

Externí odkaz: http://arxiv.org/abs/2212.01044

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Cluster based inference for extremes of time series

Autor: Drees, Holger, Janßen, Anja, Neblung, Sebastian

We introduce a new type of estimator for the spectral tail process of a regularly varying time series. The approach is based on a characterizing invariance property of the spectral tail process, which is incorporated into the new estimator via a proj

Externí odkaz: http://arxiv.org/abs/2103.08512

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Asymptotics for sliding blocks estimators of rare events

Autor: Drees, Holger, Neblung, Sebastian

Drees and Rootz\'en (2010) have established limit theorems for a general class of empirical processes of statistics that are useful for the extreme value analysis of time series, but do not apply to statistics of sliding blocks, including so-called r

Externí odkaz: http://arxiv.org/abs/2003.01016

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