9 citations · 9 across the 4 of their papers we have counts for
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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
On the behavior of extreme -dimensional spatial quantiles under minimal assumptions
Davy Paindaveine, Joni Virta
"Spatial" or "geometric" quantiles are the only multivariate quantiles coping with both high-dimensional data and functional data, also in the framework of multiple-output quantile…