Showing math.STShow all
3 papers · 1 filter
math.ST2026
Central limit theory for serial tail dependence estimators in heavy-tailed long memory linear time series
Ioan Scheffel, Marco Oesting, Gilles Stupfler
We prove multiple central limit theorems for serial tail dependence estimators in heavy-tailed long memory linear time series. The main theoretical tools are two novel multivariate…
math.ST2026
Regularized geometric quantiles and universal linear distribution functionals
Dimitri Konen, Gilles Stupfler
Geometric quantiles are popular location functionals to build rank-based statistical procedures in multivariate settings. They are obtained through the minimization of a non-smooth…
math.ST2021
Optimal pooling and distributed inference for the tail index and extreme quantiles
Abdelaati Daouia, Simone A. Padoan, Gilles Stupfler
This paper investigates pooling strategies for tail index and extreme quantile estimation from heavy-tailed data. To fully exploit the information contained in several samples, we…