101 citations · 226 across the 14 of their papers we have counts for
20 papers
Statistical Inference on a Changing Extremal Dependence Structure
Holger Drees
We analyze the extreme value dependence of independent, not necessarily identically distributed multivariate regularly varying random vectors. More specifically, we propose estimat…
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…
Asymptotics for sliding blocks estimators of rare events
Holger Drees, Sebastian Neblung
Drees and Rootzén (2010) have established limit theorems for a general class of empirical processes of statistics that are useful for the extreme value analysis of time series, but…
Principal Component Analysis for Multivariate Extremes
Holger Drees, Anne Sabourin
The first order behavior of multivariate heavy-tailed random vectors above large radial thresholds is ruled by a limit measure in a regular variation framework. For a high dimensio…
Peak-over-Threshold Estimators for Spectral Tail Processes: Random vs Deterministic Thresholds
Holger Drees, Miran Knezevic
The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] p…
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…