32 citations · 121 across the 34 of their papers we have counts for
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math.ST2019
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.…
math.ST2019★ 1 cited
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…