Related papers: A Discussion on Mean Excess Plots

Although the fundamental probabilistic theory of extremes has been well developed, there are many practical considerations that must be addressed in application. The contribution of this thesis is four-fold. The first concerns the choice of…

I highlight that there is a substantial number of papers (at least 11 published since 2024) which all refer to a specific type of plot as an "Allan variance" plot, when in fact they seem to be plotting the standard deviation of the…

For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…

Measuring model risk is required by regulators on financial and insurance markets. We separate model risk into parameter estimation risk and model specification risk, and we propose expected shortfall type model risk measures applied to…

In this paper, we pay our attention to geometric parameters and their applications in economics and finance. We discuss the multiplicative models in which a geometric mean and a geometric standard deviation are more natural than arithmetic…

We review the alternative proposals introduced recently in the literature to update the standard formula to estimate the uncertainty on the mean of repeated measurements, and we compare their performances on synthetic examples with normal…

In samples from a heavy-tailed distribution a second-order approximation is often use to approximate the tail function. Based on the parameters of the approximation, an optimal sample fraction can be estimated which is then used to estimate…

Machine learning applications frequently come with multiple diverse objectives and constraints that can change over time. Accordingly, trained models can be tuned with sets of hyper-parameters that affect their predictive behavior (e.g.,…

For a risk vector $V$, whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and the aggregated risk in the market. Risk is measured by…

This article aims to introduced a new distribution named as extended xgamma (EXg) distribution. This generalization is derived from xgamma distribution (Xg), a special finite mixture of exponential and gamma distributions [see, Sen et al.…

Numerical climate models are complex and combine a large number of physical processes. They are key tools in quantifying the relative contribution of potential anthropogenic causes (e.g., the current increase in greenhouse gases) on high…

This study provides a summary of the theory which enables the analysis of extreme values, i.e., of measurements acquired from the observation of extraordinary/rare physical phenomena. The formalism is developed in a transparent way,…

Multivariate normal mixtures provide a flexible model for high-dimensional data. They are widely used in statistical genetics, statistical finance, and other disciplines. Due to the unboundedness of the likelihood function, classical…

We study in this paper the consequences of using the Mean Absolute Percentage Error (MAPE) as a measure of quality for regression models. We show that finding the best model under the MAPE is equivalent to doing weighted Mean Absolute Error…

This paper proposes a family of estimators of population mean using information on several auxiliary variables and analyzes its properties in the presence of measurement errors.

The task of analyzing extreme events with censoring effects is considered under a framework allowing for random covariate information. A wide class of estimators that can be cast as product-limit integrals is considered, for when the…

Count data are common in medical research. When these data have more zeros than expected by the most used count distributions, it is common to employ a zero-inflated regression model. However, the interpretability of these models is much…

Spreadsheets are known to be error-prone. Over the last decade, research has been done to determine the causes of the high rate of errors in spreadsheets. This paper examines the added value of a spreadsheet tool (PerfectXL) that visualizes…

A class of conserved models of wealth distributions are studied where wealth (or money) is assumed to be exchanged between a pair of agents in a population like the elastically colliding molecules of a gas exchanging energy. All sorts of…

Across the sciences, the statistical analysis of networks is central to the production of knowledge on relational phenomena. Because of their ability to model the structural generation of networks, exponential random graph models are a…