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stat.ME2025
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…
stat.ME2025
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…