3 papers
stat.ME2026
High dimensional inference for extreme value indices
Liujun Chen, Chen Zhou
When applying multivariate extreme value statistics to analyze tail risk in compound events defined by a multivariate random vector, one often assumes that all dimensions share the…
stat.ME2026
High Dimensional Mean Test for Shrinking Random Variables with Applications to Backtesting
Liujun Chen, Chen Zhou
We propose a high dimensional mean test framework for shrinking random variables, where the underlying random variables shrink to zero as the sample size increases. By pooling obse…
stat.ME2025
Clustering Tails in High Dimension
Liujun Chen, Marco Oesting, Chen Zhou
One potential solution to combat the scarcity of tail observations in extreme value analysis is to integrate information from multiple datasets sharing similar tail properties, for…