65 citations · 232 across the 16 of their papers we have counts for
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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…
stat.ME2023★ 4 cited
Semiparametric Estimation of the Shape of the Limiting Bivariate Point Cloud
Reetam Majumder, Benjamin A. Shaby, Brian J. Reich +1
We propose a model to flexibly estimate joint tail properties by exploiting the convergence of an appropriately scaled point cloud onto a compact limit set. Characteristics of the…