94 citations · 133 across the 33 of their papers we have counts for
Showing 2021 · stat.MEShow all
2 papers · 2 filters
stat.ME2021★ 2 cited
Inference and forecasting for continuous-time integer-valued trawl processes
Mikkel Bennedsen, Asger Lunde, Neil Shephard +1
This paper develops likelihood-based methods for estimation, inference, model selection, and forecasting of continuous-time integer-valued trawl processes. The full likelihood of i…
stat.ME2021
Extreme event propagation using counterfactual theory and vine copulas
Valentin Courgeau, Almut E. D. Veraart
Understanding multivariate extreme events play a crucial role in managing the risks of complex systems since extremes are governed by their own mechanisms. Conditional on a given v…