2 papers
math.ST2026
Inference for H{ü}sler-Reiss block models
Capel Alexandre, Demangeot Marine, Meyer Nicolas +1
Estimating the H{ü}sler-Reiss precision matrix is a fundamental problem for statistical inference in multivariate extremes. In high-dimensional settings, the number of unknown para…
math.PR2021
Some variations on the extremal index
Gloria Buriticá, Meyer Nicolas, Thomas Mikosch +1
We re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as reciprocal of the expected size of an extremal cluster above high thresholds. We focus…