2 papers
math.ST2026
A Kullback-Leibler divergence test for multivariate extremes: theory and practice
Sebastian Engelke, Philippe Naveau, Chen Zhou
Testing whether two multivariate samples exhibit the same extremal behavior is an important problem in various fields including environmental and climate sciences. While several ad…
q-fin.RM2024
Tail Risk Analysis for Financial Time Series
Anna Kiriliouk, Chen Zhou
This book chapter illustrates how to apply extreme value statistics to financial time series data. Such data often exhibits strong serial dependence, which complicates assessment o…