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stat.ME2025
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…
stat.ME2024
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…