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math.ST2026
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…
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…