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math.ST2023
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…
stat.ME2023
Asymmetric dependence in hydrological extremes
Cristina Deidda, Sebastian Engelke, Carlo De Michele
Extremal dependence describes the strength of correlation between the largest observations of two variables. It is usually measured with symmetric dependence coefficients that do n…