13 citations · 48 across the 23 of their papers we have counts for
3 papers · 1 filter
Sparsity in Multivariate Extremes with Applications to Anomaly Detection
Nicolas Goix, Anne Sabourin, Stéphan Clémençon
Capturing the dependence structure of multivariate extreme events is a major concern in many fields involving the management of risks stemming from multiple sources, e.g. portfolio…
Learning the dependence structure of rare events: a non-asymptotic study
Nicolas Goix, Anne Sabourin, Stéphan Clémençon
Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivaria…
On Anomaly Ranking and Excess-Mass Curves
Nicolas Goix, Anne Sabourin, Stéphan Clémençon
Learning how to rank multivariate unlabeled observations depending on their degree of abnormality/novelty is a crucial problem in a wide range of applications. In practice, it gene…