83 citations · 127 across the 25 of their papers we have counts for
28 papers
Regularization Effects of Time Integration on Gaussian Process Functionals
Takafumi Amaba, Marie Kratz
In this paper, we investigate the regularization effects, in the sense of Malliavin calculus, on functionals of Gaussian processes induced by time integration, focusing on their co…
Multivariate Discrete Generalized Pareto Distributions: Theory, Simulation, and Applications to Dry spells
Samira Aka, Marie Kratz, Philippe Naveau
This article extends the multivariate extreme value theory (MEVT) to discrete settings, focusing on the generalized Pareto distribution (GPD) as a foundational tool. The purpose of…
Extremal behaviour and convergence rates for sample--based geometric quantiles and half space depths
Sibsankar Singha, Marie Kratz, Sreekar Vadlamani
We consider the empirical versions of geometric quantile and halfspace depth, and study their extremal behaviour as a function of the sample size. The objective of this study is to…
Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks
Julien Hambuckers, Marie Kratz, Antoine Usseglio-Carleve
We introduce a method to estimate simultaneously the tail and the threshold parameters of an extreme value regression model. This standard model finds its use in finance to assess…
Managing Cyber Risk, a Science in the Making
Michel Dacorogna, Marie Kratz
Not a day goes by without news about a cyber attack. Fear spreads out and lots of wrong ideas circulate. This survey aims at showing how all these uncertainties about cyber can be…
On the relation between extremal dependence and concomitants
Amir Khorrami Chokami, Marie Kratz
The study of concomitants has recently met a renewed interest due to its applications in selection procedures. For instance, concomitants are used in ranked-set sampling, to achiev…