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math.ST2026
Trends in tail dependence of heteroscedastic extremes
John H. J. Einmahl, Chen Zhou
We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also hete…
math.ST2026★ 2 cited
All Block Maxima method for estimating the extreme value index
Jochem Oorschot, Chen Zhou
The block maxima (BM) approach in extreme value analysis fits a sample of block maxima to the Generalized Extreme Value (GEV) distribution. We consider all potential blocks from a…