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Publications Influence

Markov tail chains

- Anja Janßen, J. Segers
- Mathematics
- 1 December 2014

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 called… Expand

16 7

A stochastic volatility model with flexible extremal dependence structure

- Anja Janßen, H. Drees
- Mathematics
- 17 October 2013

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 of… Expand

20 5- PDF

On a Minimum Distance Procedure for Threshold Selection in Tail Analysis

- H. Drees, Anja Janßen, S. Resnick, Tiandong Wang
- Mathematics, Computer Science
- SIAM J. Math. Data Sci.
- 15 November 2018

TLDR

11 4- PDF

Spectral tail processes and max-stable approximations of multivariate regularly varying time series

- Anja Janßen
- Mathematics
- 20 April 2017

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. The… Expand

13 3- PDF

Joint extremal behavior of hidden and observable time series with applications to GARCH processes

- A. Ehlert, U. Fiebig, Anja Janßen, Martin Schlather
- Mathematics
- 3 July 2011

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 \mathbb… Expand

8 2- PDF

$k$-means clustering of extremes

- Anja Janßen, Phyllis Wan
- Computer Science, Mathematics
- 5 April 2019

TLDR

8 1- PDF

Conditional extreme value models: fallacies and pitfalls

- H. Drees, Anja Janßen
- Mathematics
- 9 June 2016

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 component… Expand

6 1- PDF

The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

- Anja Janßen, T. Mikosch, M. Rezapour, Xiaolei Xie
- Mathematics
- 9 May 2016

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 the… Expand

9- PDF

Issue information

- Daniela Forcella, S. D. Anker, +7 authors P. Adamson
- Computer Science
- Random Struct. Algorithms
- 2019

TLDR

VARYING MULTIVARIATE TIME SERIES

- Anja Janßen
- 2018

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 extremal… Expand