75 citations · 236 across the 75 of their papers we have counts for
Showing 2020 · math.STShow all
2 papers · 2 filters
math.ST2020
Latent Model Extreme Value Index Estimation
Joni Virta, Niko Lietzén, Lauri Viitasaari +1
We propose a novel strategy for multivariate extreme value index estimation. In applications such as finance, volatility and risk present in the components of a multivariate time s…
math.ST2020
Modeling temporally uncorrelated components for complex-valued stationary processes
Niko Lietzén, Lauri Viitasaari, Pauliina Ilmonen
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We st…