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math.ST2023★ 1 cited
Transformed-Linear Innovations Algorithm for Modeling and Forecasting of Time Series Extremes
Nehali Mhatre, Daniel Cooley
The innovations algorithm is a classical recursive forecasting algorithm used in time series analysis. We develop the innovations algorithm for a class of nonnegative regularly var…
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…