5 citations · 5 across the 3 of their papers we have counts for
5 papers
POT-flavored estimator of Pickands dependence function
Nan Zou
This work proposes an estimator with both Peak-Over-Threshold and Block-Maxima flavors, uses it to estimate the Pickands dependence function of bivariate time series, and illustrat…
The Bootstrap for Dynamical Systems
Kasun Fernando, Nan Zou
Despite their deterministic nature, dynamical systems often exhibit seemingly random behaviour. Consequently, a dynamical system is usually represented by a probabilistic model of…
Multiple block sizes and overlapping blocks for multivariate time series extremes
Nan Zou, Stanislav Volgushev, Axel Bücher
Block maxima methods constitute a fundamental part of the statistical toolbox in extreme value analysis. However, most of the corresponding theory is derived under the simplifying…
On Second Order Conditions in the Multivariate Block Maxima and Peak over Threshold Method
Axel Bücher, Stanislav Volgushev, Nan Zou
Second order conditions provide a natural framework for establishing asymptotic results about estimators for tail related quantities. Such conditions are typically tailored to the…
On spurious regressions with trending variables
Minghua Wu, Pin You, Nan Zou
This paper examines three types of spurious regressions where both the dependent and independent variables contain deterministic trends, stochastic trends, or breaking trends. We s…