1 citations · 1 across the 2 of their papers we have counts for
2 papers
math.ST2019★ 1 cited
Distributionally Robust Inference for Extreme Value-at-Risk
Robert Yuen, Stilian Stoev, Dan Cooley
Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unkn…
stat.ME2013
CRPS M-estimation for max-stable models
Robert A. Yuen, Stilian Stoev
Max-stable random fields provide canonical models for the dependence of multivariate extremes. Inference with such models has been challenging due to the lack of tractable likeliho…