42 citations · 62 across the 8 of their papers we have counts for
3 papers · 1 filter
Extremal Dependence of Moving Average Processes Driven by Exponential-Tailed Lévy Noise
Zhongwei Zhang, David Bolin, Sebastian Engelke +1
Moving average processes driven by exponential-tailed Lévy noise are important extensions of their Gaussian counterparts in order to capture deviations from Gaussianity, more flexi…
Distributionally robust tail bounds based on Wasserstein distance and -divergence
Corina Birghila, Maximilian Aigner, Sebastian Engelke
In this work, we provide robust bounds on the tail probabilities and the tail index of heavy-tailed distributions in the context of model misspecification. They are defined as the…
Graphical Models for Extremes
Sebastian Engelke, Adrien S. Hitz
Conditional independence, graphical models and sparsity are key notions for parsimonious statistical models and for understanding the structural relationships in the data. The theo…