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math.ST2026
Censored Heteroscedastic Extremes
Martin Bladt, Theodor Henningsen
We study estimation of tail heterogeneity for non-identically distributed extreme observations subject to random right-censoring. In the uncensored setting, such heterogeneity is d…
math.ST2026
Conditional Extreme Value Estimation for Dependent Time Series
Martin Bladt, Laurits Glargaard, Theodor Henningsen
We study the consistency and weak convergence of the conditional tail function and conditional Hill estimators under broad dependence assumptions for a heavy-tailed response sequen…