123 citations · 267 across the 30 of their papers we have counts for
3 papers · 1 filter
Structure learning for extremal tree models
Sebastian Engelke, Stanislav Volgushev
Extremal graphical models are sparse statistical models for multivariate extreme events. The underlying graph encodes conditional independencies and enables a visual interpretation…
Rank-based Estimation under Asymptotic Dependence and Independence, with Applications to Spatial Extremes
Michaël Lalancette, Sebastian Engelke, Stanislav Volgushev
Multivariate extreme value theory is concerned with modeling the joint tail behavior of several random variables. Existing work mostly focuses on asymptotic dependence, where the p…
Sparse Structures for Multivariate Extremes
Sebastian Engelke, Jevgenijs Ivanovs
Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-deve…