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math.PR2017
Coupled Continuous Time Random Maxima
Katharina Hees, Hans-Peter Scheffler
Continuous Time Random Maxima (CTRM) are a generalization of classical extreme value theory: Instead of observing random events at regular intervals in time, the waiting times betw…
math.PR2016
On joint sum/max stability and sum/max domains of attraction
Katharina Hees, Hans-Peter Scheffler
Let (W_i, J_i) be a sequence of i.i.d. R_+ x R-valued random vectors. Considering the partial sum of the first component and the corresponding maximum of the second component, we a…