Estimating a Directed Tree for Extremes

no code implementations • 11 Feb 2021 • Ngoc Mai Tran, Johannes Buck, Claudia Klüppelberg

We propose a new method to estimate a root-directed spanning tree from extreme data.

Causal Discovery Causal Inference

Indirect Inference for Time Series Using the Empirical Characteristic Function and Control Variates

no code implementations • 17 Apr 2019 • Richard A. Davis, Thiago do Rêgo Sousa, Claudia Klüppelberg

Motivated by Indirect Inference, we use a Monte Carlo approximation of the characteristic function based on iid simulated blocks.

Time Series Analysis Statistics Theory Statistics Theory 62F12, 62G20, 62M10, 65C05, 91G70