3 papers
math.PR2022
Tail-dependence, exceedance sets, and metric embeddings
Anja Janßen, Sebastian Neblung, Stilian Stoev
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable v…
math.ST2021
Cluster based inference for extremes of time series
Holger Drees, Anja Janßen, Sebastian Neblung
We introduce a new type of estimator for the spectral tail process of a regularly varying time series. The approach is based on a characterizing invariance property of the spectral…
math.ST2020
Asymptotics for sliding blocks estimators of rare events
Holger Drees, Sebastian Neblung
Drees and Rootzén (2010) have established limit theorems for a general class of empirical processes of statistics that are useful for the extreme value analysis of time series, but…