2 citations · 2 across the 5 of their papers we have counts for
9 papers
Statistical inference for extremal directions in high-dimensional spaces
Lucas Butsch, Vicky Fasen-Hartmann
In multivariate extreme value statistics, the first step in understanding the dependence structure of extremes is identifying the directions in which they occur. The novelty of thi…
Estimation of the number of principal components in high-dimensional multivariate extremes
Lucas Butsch, Vicky Fasen-Hartmann
For multivariate regularly random vectors of dimension , the dependence structure of the extremes is modeled by the so-called angular measure. When the dimension is high, es…
Information criteria for the number of directions of extremes in high-dimensional data
Lucas Butsch, Vicky Fasen-Hartmann
In multivariate extreme value analysis, the estimation of the dependence structure in extremes is demanding, especially in the context of high-dimensional data. Therefore, a common…
Factorization and discrete-time representation of multivariate CARMA processes
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 Ornste…
A note on estimation of -stable CARMA processes sampled at low frequencies
Vicky Fasen-Hartmann, Celeste Mayer
In this paper, we investigate estimators for symmetric -stable CARMA processes sampled equidistantly. Simulation studies suggest that the Whittle estimator and the estimator pre…
Whittle estimation for stationary state space models with finite second moments
Vicky Fasen-Hartmann, Celeste Mayer
In this paper, we consider the Whittle estimator for the parameters of a stationary solution of a continuous-time linear state space model sampled at low frequencies. In our contex…