14 citations · 20 across the 3 of their papers we have counts for
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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…
Fourier analysis of serial dependence measures
Ria van Hecke, Stanislav Volgushev, Holger Dette
Classical spectral analysis is based on the discrete Fourier transform of the auto-covariances. In this paper we investigate the asymptotic properties of new frequency domain metho…