10 citations · 16 across the 10 of their papers we have counts for
12 papers
Empirical tail dependence functions in high dimensions: uniform linearizations and inference
Axel Bücher, Yeonjoon Choi, Katharina Effertz +1
The analysis of extremal dependence in high dimensions is a key challenge in modern extreme-value statistics. Existing methodology primarily focuses on modeling and estimation of e…
Dimension Reduction in Multivariate Extremes via Latent Linear Factor Models
Alexis Boulin, Axel Bücher
We propose a new and interpretable class of high-dimensional tail dependence models based on latent linear factor structures. Specifically, extremal dependence of an observable vec…
Consistency of M-estimators for non-identically distributed data: the case of fixed-design distributional regression
Axel Bücher, Johan Segers, Torben Staud
This paper explores strong and weak consistency of M-estimators for non-identically distributed data, extending prior work. Emphasis is given to scenarios where data is viewed as a…
Extreme Value Analysis based on Blockwise Top-Two Order Statistics
Axel Bücher, Erik Haufs
Extreme value analysis for time series is often based on the block maxima method, in particular for environmental applications. In the classical univariate case, the latter is base…
On the lack of weak continuity of Chatterjee's correlation coefficient
Axel Bücher, Holger Dette
Chatterjee's correlation coefficient has recently been proposed as a new association measure for bivariate random vectors that satisfies a number of desirable properties. Among the…
Statistics for Heteroscedastic Time Series Extremes
Axel Bücher, Tobias Jennessen
Einmahl, de Haan and Zhou (2016, Journal of the Royal Statistical Society: Series B, 78(1), 31-51) recently introduced a stochastic model that allows for heteroscedasticity of extr…
On the Disjoint and Sliding Block Maxima method for piecewise stationary time series
Axel Bücher, Leandra Zanger
Modeling univariate block maxima by the generalized extreme value distribution constitutes one of the most widely applied approaches in extreme value statistics. It has recently be…
Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators
Axel Bücher, Holger Dette, Florian Heinrichs
Classical change point analysis aims at (1) detecting abrupt changes in the mean of a possibly non-stationary time series and at (2) identifying regions where the mean exhibits a p…
Method of moments estimators for the extremal index of a stationary time series
Axel Bücher, Tobias Jennessen
The extremal index , a number in the interval , is known to be a measure of primal importance for analyzing the extremes of a stationary time series. New rank-based estim…
Multiple block sizes and overlapping blocks for multivariate time series extremes
Nan Zou, Stanislav Volgushev, Axel Bücher
Block maxima methods constitute a fundamental part of the statistical toolbox in extreme value analysis. However, most of the corresponding theory is derived under the simplifying…
A horse racing between the block maxima method and the peak-over-threshold approach
Axel Bücher, Chen Zhou
Classical extreme value statistics consists of two fundamental approaches: the block maxima (BM) method and the peak-over-threshold (POT) approach. It seems to be general consensus…
A note on weak convergence of the sequential multivariate empirical process under strong mixing
Axel Bücher
This article investigates weak convergence of the sequential -dimensional empirical process under strong mixing. Weak convergence is established for mixing rates $α_n = O(n^{-a}…