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Markov tail chains
The extremes of a univariate Markov chain with regulary varying stationary marginal distribution and asymptotically linear behavior are known to exhibit a multiplicative random walk structure calledExpand
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A stochastic volatility model with flexible extremal dependence structure
Stochastic volatility processes with heavy-tailed innovations are a well-known model for financial time series. In these models, the extremes of the log returns are mainly driven by the extremes ofExpand
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On a Minimum Distance Procedure for Threshold Selection in Tail Analysis
TLDR
Power-law distributions have been widely observed in different areas of scientific research. Expand
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Spectral tail processes and max-stable approximations of multivariate regularly varying time series
A regularly varying time series as introduced in Basrak and Segers (2009) is a (multivariate) time series such that all finite dimensional distributions are multivariate regularly varying. TheExpand
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Joint extremal behavior of hidden and observable time series with applications to GARCH processes
For a class of generalized hidden Markov models (Xt,Yt)t∈ℤ$(X_{t},Y_{t})_{t \in \mathbb {Z}}$ we analyze the limiting behavior of the (suitably scaled) unobservable part (Yt)t∈ℤ$(Y_{t})_{t\in \mathbbExpand
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$k$-means clustering of extremes
TLDR
In this paper, we explore how the spherical $k$-means clustering algorithm can be applied in the analysis of only the extremal observations from a data set. Expand
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Conditional extreme value models: fallacies and pitfalls
Conditional extreme value models have been introduced by Heffernan and Resnick (Ann. Appl. Probab., 17, 537–571, 2007) to describe the asymptotic behavior of a random vector as one specific componentExpand
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The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its entries in theExpand
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Issue information
TLDR
ESC Heart Failure is the open access journal of the Heart Failure Association of the European Society of Cardiology dedicated to the advancement of knowledge in the field of heart failure. Expand
VARYING MULTIVARIATE TIME SERIES
A regularly varying time series as introduced in Basrak and Segers [1] is a (multivariate) time series such that all finite-dimensional distributions are multivariate regularly varying. The extremalExpand