Zobrazeno 1 - 10
of 35
pro vyhledávání: '"Vicky Fasen"'
Autor:
Vicky Fasen-Hartmann, Celeste Mayer
Publikováno v:
Journal of Statistical Planning and Inference. 219:250-265
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
Autor:
Vicky Fasen-Hartmann, Celeste Mayer
Publikováno v:
Annals of the Institute of Statistical Mathematics. 74:233-270
We consider Whittle estimation for the parameters of a stationary solution of a continuous-time linear state space model sampled at low frequencies. In our context, the driving process is a Levy process which allows flexible margins of the underlying
Autor:
Sebastian Kimmig, Vicky Fasen-Hartmann
Publikováno v:
Journal of Time Series Analysis. 41:620-651
In this article, we present a robust estimator for the parameters of a stationary, but not necessarily Gaussian, continuous-time ARMA(p,q) (CARMA(p,q)) process that is sampled equidistantly. Therefore, we propose an indirect estimation procedure that
Autor:
Vicky Fasen-Hartmann, Celeste Mayer
In this paper, we consider function-indexed normalized weighted integrated periodograms for equidistantly sampled multivariate continuous-time state space models which are multivariate continuous-time ARMA processes. Thereby, the sampling distance is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0fba5d4dcbed2a1493bc16f6ba008138
Autor:
Vicky Fasen-Hartmann, Markus Scholz
Publikováno v:
Stochastics. 92:1064-1099
In this paper, we define and characterize cointegrated solutions of continuous-time linear state-space models driven by Levy processes. Cointegrated solutions of such models are shown to be represe...
Autor:
Bikramjit Das, Vicky Fasen-Hartmann
Publikováno v:
Statistics & Risk Modeling. 36:1-23
Conditional excess risk measures like Marginal Expected Shortfall and Marginal Mean Excess are designed to aid in quantifying systemic risk or risk contagion in a multivariate setting. In the context of insurance, social networks, and telecommunicati
Autor:
Vicky Fasen-Hartmann, Markus Scholz
In this paper we show that stationary and non-stationary multivariate continuous-time ARMA (MCARMA) processes have the representation as a sum of multivariate complex-valued Ornstein-Uhlenbeck processes under some mild assumptions. The proof benefits
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f8b065b53ad8e9e399ef2250248e8e5
Autor:
Bikramjit Das, Vicky Fasen-Hartmann
Publikováno v:
Web of Science
Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and asymptotic tail i
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::09711509363735c4eb5ca77432660317
http://arxiv.org/abs/1802.01936
http://arxiv.org/abs/1802.01936
Autor:
Vicky Fasen
Publikováno v:
Scandinavian Journal of Statistics. 43:292-320
The paper considers high frequency sampled multivariate continuous-time ARMA (MCARMA) models, and derives the asymptotic behavior of the sample autocovariance function to a normal random matrix. Moreover, we obtain the asymptotic behavior of the cros