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
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)
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