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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.ST2025
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…
math.ST2022
Estimating absorption time distributions of general Markov jump processes
Jamaal Ahmad, Martin Bladt, Mogens Bladt
The estimation of absorption time distributions of Markov jump processes is an important task in various branches of statistics and applied probability. While the time-homogeneous…