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stat.ME2026
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…
stat.ME2018
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…