3 citations · 5 across the 9 of their papers we have counts for
3 papers · 1 filter
Accurate Bayesian inference for tail risk extrapolation in time series
David L. Carl, Simone A. Padoan, Stefano Rizzelli
Accurately quantifying tail risks-rare but high-impact events such as financial crashes or extreme weather-is a central challenge in risk management, with serially dependent data.…
Asymptotic theory for the likelihood-based block maxima method in time series
David L. Carl, Simone A. Padoan, Stefano Rizzelli
This paper develops a rigorous asymptotic framework for likelihood-based inference in the Block Maxima (BM) method for stationary time series. While Bayesian inference under the BM…
Statistical Prediction of Peaks Over a Threshold
Simone A. Padoan, Stefano Rizzelli
In many applied fields, the prediction of more severe events than those already recorded is crucial for safeguarding against potential future calamities. What-if analyses, which ev…