83 citations · 127 across the 25 of their papers we have counts for
6 papers · 1 filter
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…
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…
Joint FCLT for Sample Quantile and Measures of Dispersion for Functionals of Mixing Processes
Marcel Bräutigam, Marie Kratz
In this paper, we establish a joint (bivariate) functional central limit theorem of the sample quantile and the -th absolute centred sample moment for functionals of mixing proc…
Multi-Normex Distributions for the Sum of Random Vectors. Rates of Convergence
Marie Kratz, Evgeny Prokopenko
We build a sharp approximation of the whole distribution of the sum of iid heavy-tailed random vectors, combining mean and extreme behaviors. It extends the so-called 'normex' appr…
Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(,) processes
Marcel Bräutigam, Marie Kratz
In this paper, we build upon the asymptotic theory for GARCH processes, considering the general class of augmented GARCH(, ) processes. Our contribution is to complement the…
On the Dependence between Functions of Quantile and Dispersion Estimators
Marcel Bräutigam, Marie Kratz
In this paper, we derive the joint asymptotic distributions of functions of quantile estimators (the non-parametric sample quantile and the parametric location-scale quantile estim…