Multivariate Heavy Tail Phenomena
Modeling and Diagnostics
Papers
Richard Davis
Weibo Gong
John Nolan
Sidney Resnick
Gennady Samorodnitsky
Ness Shroff
R. Srikant
Don Towsley
Zhi-Li Zhang
Participants
Presentations
Natick Kickoff Meeting (December 3-4, 2012)
Team Meeting at Columbia (April 26-27, 2013)
Update Meeting at Cornell (October 1, 2013)
Update Meeting at Columbia (October 7, 2014)
Team Meeting NYC at CFEM (March 6, 2015)
Update Meeting at Columbia (October 16, 2015)
Team Meeting NYC at CFEM (April 15, 2016)
Update Meeting at Natick Mass. (November 21, 2016)
Team Meeting NYC at CFEM (May 12, 2017)
Team Meeting at ARL, Md. (October 27, 2017)
Software
Richard Davis
Home
Richard Davis
Richard Davis
August 15, 2019
Patrick Gillespie
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Discrete Extremes
(September 2018)
Extreme Value Analysis Without the Largest Values What Can be Done
(September 2018)
Goodness of Fit Testing for Time Series Models via Distance
(September 2018)
Inference on the tail process with application to financial time series modeling
(September 2018)
Semiparametric Estimation for Isotropic Max stable space time processes
(September 2018)
Semiparametric Estimation for Non Caussian Non Minimum Phase ARMA models
(September 2018)
Stochastic differential equations with a fractionally fltered delay: a semimartingale model for long-range dependent processes
(September 2018)
Supplimentary Material for Discrete Extremes
(September 2018)
Threshold Selection for Multivaiate heavy tailed data
(September 2018)
Nonstandard Regular Variation of In-Degree and Out-Degree in the Preferential Attachment Model
Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
Measures of Serial Extremal Dependence and Their Estimation
Eigenvalues of Sample Covariance Matrices of Non-Linear Processes with Infinite Variance
A Bayesian Semi-Parametric Approach to Extreme Regime Identification
Asymptotic Theory for the Sample Covariance Matrix of a Heavy-Tailed Multivariate Time Series
Asymptotic Properties of the Empirical Spatial Extremogram
Semiparametric estimation for isotropic max-stable space-time processes
Inference on the tail process with application to financial time series modelling
Semiparametric Estimation for Non-Gaussian Non-minimum Phase ARMA models
Threshold Selection for Multivariate Heavy-Tailed Data
Fitting the Linear Preferential Attachment Model
Extreme Value Analysis Without the Largest Values: What Can Be Done?