32 citations · 121 across the 34 of their papers we have counts for
12 papers · 1 filter
On the optimal prediction of extreme events
Benjamin Bobbia, Stilian Stoev
The prediction of the extremely large values of a response variable in terms of a vector of covariates is a fundamental problem arising in many scientific and…
On the universal calibration of heavy-tailed combination tests
Parijat Chakraborty, F. Richard Guo, Kerby Shedden +1
It is often of interest to test a global null hypothesis using multiple, possibly dependent -values by combining their strengths while controlling the type-I error. Recently, se…
On the optimal prediction of extreme events in heavy-tailed time series with applications to solar flare forecasting
Victor Verma, Stilian Stoev, Yang Chen
The prediction of extreme events in time series is a fundamental problem arising in many financial, scientific, engineering, and other applications. We begin by establishing a gene…
Spectral Density Estimation of Function-Valued Spatial Processes
Rafail Kartsioukas, Stilian Stoev, Tailen Hsing
The spectral density function describes the second-order properties of a stationary stochastic process on . This paper considers the nonparametric estimation of the s…
On the rate of concentration of maxima in Gaussian arrays
Rafail Kartsioukas, Zheng Gao, Stilian Stoev
Recently in Gao and Stoev (2018) it was established that the concentration of maxima phenomenon is the key to solving the exact sparse support recovery problem in high dimensions.…
Distributionally Robust Inference for Extreme Value-at-Risk
Robert Yuen, Stilian Stoev, Dan Cooley
Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unkn…