1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.ST2024★ 1 cited
Partial correlation graphs for continuous-parameter time series
Vicky Fasen-Hartmann, Lea Schenk
In this paper, we establish the partial correlation graph for multivariate continuous-time stochastic processes, assuming only that the underlying process is stationary and mean-sq…
q-fin.RM2023
On heavy-tailed risks under Gaussian copula: the effects of marginal transformation
Bikramjit Das, Vicky Fasen-Hartmann
In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-taile…
math.PR2014
Stable Random Fields, Point Processes and Large Deviations
Vicky Fasen, Parthanil Roy
We investigate the large deviation behaviour of a point process sequence based on a stationary symmetric stable non-Gaussian discrete-parameter random field using the framework of…