161 citations · 318 across the 9 of their papers we have counts for
11 papers
Heavy-tailed max-linear structural equation models in networks with hidden nodes
Mario Krali, Anthony C. Davison, Claudia Klüppelberg
Recursive max-linear vectors provide models for causal dependence between large values of random variables that are supported on directed acyclic graphs, but the standard assumptio…
Estimation of causal CARMA random fields
Claudia Klüppelberg, Viet Son Pham
We estimate model parameters of Lévy-driven causal CARMA random fields by fitting the empirical variogram to the theoretical counterpart using a weighted least squares (WLS) approa…
Modelling Extremal Dependence for Operational Risk by a Bipartite Graph
Oliver Kley, Claudia Klüppelberg, Sandra Paterlini
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of opera…
Bayesian Networks for Max-linear Models
Claudia Klüppelberg, Steffen Lauritzen
We study Bayesian networks based on max-linear structural equations as introduced in Gissibl and Klüppelberg [16] and provide a summary of their independence properties. In particu…
Turbulence modeling by time-series methods
Vincenzo Ferrazzano, Claudia Klüppelberg
A general model for stationary, time-wise turbulent velocity is presented and discussed. This approach, inspired by modeling ideas of Barndorff-Nielsen and Schimgel, is coherent wi…
Futures pricing in electricity markets based on stable CARMA spot models
Fred Espen Benth, Claudia Klüppelberg, Gernot Müller +1
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the us…