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math.ST2024
Functional Extreme-PLS
Stéphane Girard, Cambyse Pakzad
We propose an extreme dimension reduction method extending the Extreme-PLS approach to the discretized functional framework, where the covariate lies in the infinite-dimensional Hi…
math.ST2024
The empirical copula process in high dimensions: Stute's representation and applications
Axel Bücher, Cambyse Pakzad
The empirical copula process, a fundamental tool for copula inference, is studied in the high dimensional regime where the dimension is allowed to grow to infinity exponentially in…
math.ST2023
Estimation of extreme -multivariate expectiles with functional covariates
Elena Di Bernardino, Thomas Laloë, Cambyse Pakzad
The present article is devoted to the semi-parametric estimation of multivariate expectiles for extreme levels. The considered multivariate risk measures also include the possible…