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math.ST2021
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…
math.ST2018
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…