2 papers
stat.ME2026
Graphical lasso for extremes
Phyllis Wan, Chen Zhou
In this paper, we estimate the sparse dependence structure in the tail region of a multivariate random vector, potentially of high dimension. The tail dependence is modeled via a g…
math.ST2025
Characterizing extremal dependence on a hyperplane
Phyllis Wan
In this paper, we characterize the extremal dependence of asymptotically dependent variables by a class of random vectors on the -dimensional hyperplane perpendicular to…