94 citations · 133 across the 33 of their papers we have counts for
16 papers · 1 filter
Causal tail coefficient for compound extremes in multivariate time series
Cathy Yin, Adam M. Sykulski, Almut E. D. Veraart
Extreme events are often multivariate in nature. A compound extreme occurs when a combination of variables jointly produces a significant impact, even if individual components are…
Statistical inference for Levy-driven graph supOU processes: From short- to long-memory in high-dimensional time series
Shreya Mehta, Almut E. D. Veraart
This article introduces Levy-driven graph supOU processes, a parsimonious parametrisation for high-dimensional time series in which dependence between components is governed by a g…
Research frontiers in ambit stochastics: In memory of Ole E. Barndorff-Nielsen
Fred Espen Benth, Almut E. D. Veraart
This article surveys key aspects of ambit stochastics and remembers Ole E. Barndorff-Nielsen's important contributions to the foundation and advancement of this new research field…
Likelihood-based inference and forecasting for trawl processes: a stochastic optimization approach
Dan Leonte, Almut E. D. Veraart
We consider trawl processes, which are stationary and infinitely divisible stochastic processes and can describe a wide range of statistical properties, such as heavy tails and lon…
Estimation and Inference for Multivariate Continuous-time Autoregressive Processes
Lorenzo Lucchese, Mikko S. Pakkanen, Almut E. D. Veraart
The aim of this paper is to develop estimation and inference methods for the drift parameters of multivariate Lévy-driven continuous-time autoregressive processes of order $p\in\ma…
Periodic trawl processes: Simulation, statistical inference and applications in energy markets
Almut E. D. Veraart
This article introduces the class of periodic trawl processes, which are continuous-time, infinitely divisible, stationary stochastic processes, that allow for periodicity and flex…