activity
20162026
most citedMultiple block sizes and overlapping blocks for multivariate time series extremes

5 citations · 9 across the 10 of their papers we have counts for

collaborators
Showing 2022Show all

2 papers · 1 filter

stat.ME2022

Estimating POT Second-order Parameter for Bias Correction

Nan Zou

The stable tail dependence function provides a full characterization of the extremal dependence structures. Unfortunately, the estimation of the stable tail dependence function oft…

stat.ME2022

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…