3 citations · 5 across the 11 of their papers we have counts for
4 papers · 1 filter
Bias-corrected empirical likelihood-based inference for the tail index under heavy-tailed models
Haodi Liang, Natalia Nolde
The tail index parameter of heavy-tailed probability models plays a key role in characterizing the tail decay of the underlying distribution function and is often involved in extra…
Modelling peaks over thresholds in panel data: a two-level grouped panel generalized Pareto regression
Zefan Liu, Natalia Nolde
Panel data arise in a wide range of application areas, and developing modelling methods for extreme values under such a setup is essential for reliable risk assessment and manageme…
Margin-closed regime-switching multivariate time series models
Lin Zhang, Harry Joe, Natalia Nolde
A regime-switching multivariate time series model which is closed under margins is built. The model imposes a restriction on all lower-dimensional sub-processes to follow a regime-…
Margin-closed vector autoregressive time series models
Lin Zhang, Harry Joe, Natalia Nolde
Conditions are obtained for a Gaussian vector autoregressive time series of order , VAR(), to have univariate margins that are autoregressive of order or lower-dimensiona…