Oesting, Marco
- Exact simulation of max-stable processes
2015/06/14 by Clément Dombry, Sebastian Engelke, Dombry, Clément +3 · 4 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Computer and information sciences #FOS: Mathematics #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistics Theory (math.ST) #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.ST #stat.ME #stat.TH
- Extremes in High Dimensions: Methods and Scalable Algorithms
2023/03/07 by Johannes Lederer, Lederer, Johannes, Marco Oesting +1 · 3 citations
Economics, Econometrics and Finance · Mathematics · Environmental Science · #Financial Risk and Volatility Modeling #Statistical Methods and Inference #Hydrology and Drought Analysis
- Implications of Modeling Seasonal Differences in the Extremal Dependence of Rainfall Maxima
2022/07/06 by Jurado, Oscar E., Oesting, Marco, Rust, Henning W. · 2 citations
#Atmospheric and Oceanic Physics (physics.ao-ph) #Data Analysis #FOS: Physical sciences #Statistics and Probability (physics.data-an)
- Asymptotic properties of the maximum likelihood estimator for\n multivariate extreme value distributions
2016/12/15 by Clément Dombry, Sebastian Engelke, Dombry, Clement +3 · 2 citations
Economics, Econometrics and Finance · Social Sciences · #Financial Risk and Volatility Modeling #Insurance and Financial Risk Management #Insurance, Mortality, Demography, Risk Management
- Bayesian inference for multivariate extreme value distributions
2016/11/17 by Clément Dombry, Dombry, Clement, Sebastian Engelke +3 · 1 citation
Economics, Econometrics and Finance · Environmental Science · #Financial Risk and Volatility Modeling #Hydrology and Drought Analysis #Market Dynamics and Volatility
- Statistical Post-Processing of Forecasts for Extremes Using Bivariate Brown-Resnick Processes with an Application to Wind Gusts
2013/12/16 by Marco Oesting, Oesting, Marco, Martin Schlather +3 · 1 citation
Mathematics · #FOS: Computer and information sciences #Methodology (stat.ME) #stat.ME
- Long Memory of Max-Stable Time Series as Phase Transition: Asymptotic Behaviour of Tail Dependence Estimators
2023/05/17 by Marco Oesting, Oesting, Marco, Albert Rapp +1 · 1 citation
Economics, Econometrics and Finance · #60F05 #60G70 #62M10 #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistics Theory (math.ST)