Similarity-based clustering for patterns of extreme values

DOI10.1002/STA4.560MaRDI QIDQ6548801zbMATH OpenFDO

Authors Miguel De Carvalho, Raphaël Huser, Rodrigo Rubio

Publication date 3 June 2024

Published in Stat (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1002/STA4.560

zbMATH Keywords

cluster analysisextreme valuesstatistics of extremesrisk diversificationcluster functions and scalars

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(4)

• Latent level correlation modeling of multivariate discrete-valued financial time series
• Bayesian clustering of multivariate extremes
• Comonotonic-based time series clustering with constraints: a review and a conceptual framework
• Mixed effects models for extreme value index regression

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