3 papers
math.PR2025
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…
stat.ME2025
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…
math.ST2024
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…