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stat.ME2026
Composite likelihood inference of fractional Gaussian processes with sequentially optimal subset selection
Mathis Fourreau, Matthieu Garcin
The composite likelihood method reduces the computational cost of parameter estimation in time series by considering several subsets of observations instead of all observations at…
stat.ME2026
Directional Dependence of Extreme Events
Matthieu Garcin, Maxime L. D. Nicolas
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail d…