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math.ST2019★ 5 cited
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…
math.ST2018
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…