2 papers
stat.ME2022
Tail maximal dependence in bivariate models: estimation and applications
Ning Sun, Chen Yang, Ričardas Zitikis
Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the stren…
stat.ME2020
Detecting systematic anomalies affecting systems when inputs are stationary time series
Ning Sun, Chen Yang, Ričardas Zitikis
We develop an anomaly-detection method when systematic anomalies, possibly statistically very similar to genuine inputs, are affecting control systems at the input and/or output st…