Prof. Dr. Anja Janßen
Prof. Dr. Anja Janßen
I am interested in extreme value theory and dependence modelling. My main interest is the analysis of rare events in multivariate observations and time series. In my projects, I explore how model assumptions (like specific models for financial time series, in particular GARCH and SV-models) or general frameworks (like those of regular variation for vectors and time series) shape the structure of extreme events. More recently, I have worked at the interface of probability theory and statistics in the form of finding ways to improve extremal inference by incorporating this structure into estimation techniques.
I am Associate Editor for the journals Extremes and Stochastic Models.
Curriculum Vitae
- 2020 - Professor (W2), Faculty of Mathematics, Otto-von-Guericke-Universität Magdeburg,
- 2017- 2020 - Associate Professor, Department of Mathematics, KTH Royal Institute of Technology Stockholm,
- 2015--2017 - Postdoctoral researcher, Department of Mathematics, University of Copenhagen,
- 2011--2015 - Postdoctoral researcher and visiting assistant professor, Department of Mathematics, University of Hamburg
- 2010 - Doctoral Degree, Mathematics, University of Göttingen,
- 2006--2011 - Research Assistant, University of Göttingen,
- 2006--2010 - Member of the Ph.D. Program "Applied Statistics and Empirical Methods", University of Göttingen,
- 2006 - Diploma in Business Mathematics ("Wirtschaftsmathematik"), University of Hamburg
Invariance properties of limiting point processes and applications to clusters of extremes
A. Janßen, J. Segers
Dependence Modeling 12 (1), 20230109 (2024)
Tail-dependence, exceedance sets, and metric embeddings
A. Janßen, S. Neblung, S. Stoev
Extremes 26 (4), 747-785 (2023)
Cluster based inference for extremes of time series
H Drees, A Janßen, S Neblung
Arxiv Preprint 2103.08512 (2021)
k-means clustering of extremes
A Janßen, P. Wan
Electronic Journal of Statistics 14 (1), 1211-1233 (2020)
On a minimum distance procedure for threshold selection in tail analysis
H Drees, A Janßen, SI Resnick, T Wang
SIAM Journal on Mathematics of Data Science 2 (1), 75-102 (2020)
Spectral tail processes and max-stable approximations of multivariate regularly varying time series
A Janßen
Stochastic Processes and their Applications 129 (6), 1993-2009 (2019)
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
A Janßen, T Mikosch, M Rezapour, X Xie
Bernoulli 24 (2), 1351-1393 (2018)
Joint exceedances of random products
A Janßen, H Drees
Annales de l'Institut Henri Poincaré, Probabilités et Statistiques 54, 437-465 (2018)
Conditional extreme value models: fallacies and pitfalls
H Drees, A Janßen
Extremes 20 (4), 777-805 (2017)
A stochastic volatility model with flexible extremal dependence structure
A Janssen, H Drees
Bernoulli 22 (3), 1448-1490 (2016)
Joint extremal behavior of hidden and observable time series with applications to GARCH processes
A Ehlert, UR Fiebig, A Janßen, M Schlather
Extremes 18 (1), 109-140 (2015)
Markov tail chains
A Janssen, J Segers
Journal of Applied Probability 51 (4), 1133-1153 (2014)
Limit laws for power sums and norms of iid samples
A Janßen
Probability theory and related fields 146 (3), 515-533 (2010)
On Some connections between light tails, regular variation and extremes
A Janßen
Niedersächsische Staats-und Universitätsbibliothek Göttingen (2010)
Nach Vereinbarung per Email - Please contact me via Email.