2 citations · 7 across the 18 of their papers we have counts for
11 papers · 1 filter
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…
Asymptotic independence in higher dimensions and its implications on risk management
Bikramjit Das, Vicky Fasen-Hartmann
In the study of extremes, the presence of asymptotic independence signifies that extreme events across multiple variables are probably less likely to occur together. Although well-…
Partial correlation graphs for continuous-parameter time series
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we establish the partial correlation graph for multivariate continuous-time stochastic processes, assuming only that the underlying process is stationary and mean-sq…
Mixed orthogonality graphs for continuous-time stationary processes
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we introduce different concepts of Granger causality and contemporaneous correlation for multivariate stationary continuous-time processes to model different depende…
Empirical spectral processes for stationary state space models
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 multivar…
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…
Robust estimation of stationary continuous-time ARMA models via indirect inference
Vicky Fasen-Hartmann, Sebastian Kimmig
In this paper we present a robust estimator for the parameters of a continuous-time ARMA(p,q) (CARMA(p,q)) process sampled equidistantly which is not necessarily Gaussian. Therefor…
Quasi-maximum likelihood estimation for cointegrated continuous-time state space models observed at low frequencies
Vicky Fasen-Hartmann, Markus Scholz
In this paper, we investigate quasi-maximum likelihood (QML) estimation for the parameters of a cointegrated solution of a continuous-time linear state space model observed at disc…
Risk contagion under regular variation and asymptotic tail independence
Bikramjit Das, Vicky Fasen
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk c…