172 citations · 438 across the 33 of their papers we have counts for
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stat.ML2021
Spectral learning of multivariate extremes
Marco Avella Medina, Richard A. Davis, Gennady Samorodnitsky
We propose a spectral clustering algorithm for analyzing the dependence structure of multivariate extremes. More specifically, we focus on the asymptotic dependence of multivariate…
stat.ME2021★ 1 cited
Time Series Estimation of the Dynamic Effects of Disaster-Type Shock
Richard Davis, Serena Ng
This paper provides three results for SVARs under the assumption that the primitive shocks are mutually independent. First, a framework is proposed to accommodate a disaster-type v…