1 citations · 1 across the 1 of their papers we have counts for
4 papers
Cluster based inference for extremes of time series
Holger Drees, Anja Janßen, Sebastian Neblung
We introduce a new type of estimator for the spectral tail process of a regularly varying time series. The approach is based on a characterizing invariance property of the spectral…
-means clustering of extremes
Anja Janßen, Phyllis Wan
The -means clustering algorithm and its variant, the spherical -means clustering, are among the most important and popular methods in unsupervised learning and pattern detect…
On a minimum distance procedure for threshold selection in tail analysis
Holger Drees, Anja Janßen, Sidney I. Resnick +1
Power-law distributions have been widely observed in different areas of scientific research. Practical estimation issues include how to select a threshold above which observations…
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
Anja Janßen, Thomas Mikosch, Mohsen Rezapour +1
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its ent…