3 papers
math.ST2026
Statistical inference for extremal directions in high-dimensional spaces
Lucas Butsch, Vicky Fasen-Hartmann
In multivariate extreme value statistics, the first step in understanding the dependence structure of extremes is identifying the directions in which they occur. The novelty of thi…
stat.ME2025
Information criteria for the number of directions of extremes in high-dimensional data
Lucas Butsch, Vicky Fasen-Hartmann
In multivariate extreme value analysis, the estimation of the dependence structure in extremes is demanding, especially in the context of high-dimensional data. Therefore, a common…
stat.ME2025
Estimation of the number of principal components in high-dimensional multivariate extremes
Lucas Butsch, Vicky Fasen-Hartmann
For multivariate regularly random vectors of dimension , the dependence structure of the extremes is modeled by the so-called angular measure. When the dimension is high, es…