2 papers
math.ST2021
Distributionally robust tail bounds based on Wasserstein distance and -divergence
Corina Birghila, Maximilian Aigner, Sebastian Engelke
In this work, we provide robust bounds on the tail probabilities and the tail index of heavy-tailed distributions in the context of model misspecification. They are defined as the…
stat.ME2020
A competing risks interpretation of Hawkes processes
Maximilian Aigner, Valérie Chavez-Demoulin
We give a construction of the Hawkes process as a piecewise competing risks model. We argue that the most natural interpretation of the self-excitation kernel is the hazard functio…