2 papers
stat.ME2025
Factorized Tail Volatility Model: Augmenting Excess-over-Threshold Method for High-Dimensional Hevay-Tailed Data
Yifan Hu, Yanxi Hou
Ecess-over-Threshold method is a crucial technique in extreme value analysis, which approximately models larger observations over a threshold using a Generalized Pareto Distributio…
stat.ME2025
Bootstrap-based Inference for Bivariate Heteroscedastic Extremes with a Changing Tail Copula
Yifan Hu, Yanxi Hou
This paper introduces a copula-based model for independent but non-identically distributed data with heteroscedastic extremes marginal and changing tail dependence structures. We e…