From the 1 of 5 linked papers with an AI index.
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stat.ME2026
Anchored Geodesic Analysis for Multivariate Extremes
Alberto Quaini, Chen Zhou
The paper proposes anchored geodesic component analysis (AGCA), a dimension‑reduction technique for modeling multivariate extreme values on the positive unit sphere, and demonstrat…
stat.ME2026★ 1 cited
Estimating probabilities of multivariate failure sets based on pairwise tail dependence coefficients
Anna Kiriliouk, Chen Zhou
Estimating probabilities of extreme events involving multiple risk factors is a critical challenge in fields such as finance and climate science. This paper proposes a parametric a…
stat.ME2026
Graphical lasso for extremes
Phyllis Wan, Chen Zhou
In this paper, we estimate the sparse dependence structure in the tail region of a multivariate random vector, potentially of high dimension. The tail dependence is modeled via a g…