Related papers: Sensitivity of the limit shape of sample clouds fr…

A geometric representation for multivariate extremes, based on the shapes of scaled sample clouds in light-tailed margins and their so-called limit sets, has recently been shown to connect several existing extremal dependence concepts.…

The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random vectors whose components are not always simultaneously…

The key to successful statistical analysis of bivariate extreme events lies in flexible modelling of the tail dependence relationship between the two variables. In the extreme value theory literature, various techniques are available to…

We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly…

Normalizing flows, a popular class of deep generative models, often fail to represent extreme phenomena observed in real-world processes. In particular, existing normalizing flow architectures struggle to model multivariate extremes,…

Skew-elliptical distributions constitute a large class of multivariate distributions that account for both skewness and a variety of tail properties. This class has simpler representations in terms of densities rather than cumulative…

Models for extreme values are generally derived from limit results, which are meant to be good enough approximations when applied to finite samples. Depending on the speed of convergence of the process underlying the data, these…

We consider phase-type scale mixture distributions which correspond to distributions of a product of two independent random variables: a phase-type random variable $Y$ and a nonnegative but otherwise arbitrary random variable $S$ called the…

Different questions related with analysis of extreme values and outliers arise frequently in practice. To exclude extremal observations and outliers is not a good decision because they contain important information about the observed…

Multivariate rapid variation describes decay rates of joint light tails of a multivariate distribution. We impose a local uniformity condition to control decay variation of distribution tails along different directions, and using…

We introduce a new class of multivariate heavy-tailed distributions that are convolutions of heterogeneous multivariate t-distributions. Unlike commonly used heavy-tailed distributions, the multivariate convolution-t distributions embody…

Heavy-tailed distributions are found throughout many naturally occurring phenomena. We have reviewed the models of stochastic dynamics that lead to heavy-tailed distributions (and power law distributions, in particular) including the…

This paper introduces a class of copula models for spatial data, based on multivariate Pareto-mixture distributions. We explore the tail properties of these models, demonstrating their ability to capture both tail dependence and asymptotic…

Learning the tail behavior of a distribution is a notoriously difficult problem. By definition, the number of samples from the tail is small, and deep generative models, such as normalizing flows, tend to concentrate on learning the body of…

Classical models for multivariate or spatial extremes are mainly based upon the asymptotically justified max-stable or generalized Pareto processes. These models are suitable when asymptotic dependence is present, i.e., the joint tail…

In this paper, we study the fluctuations of sums of random variables with distribution defined as a mixture of light-tail and truncated heavy-tail distributions. We focus on the case when both the mixing coefficient and the truncation level…

We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, environmental and biostatistic applications. We obtain the…

Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…

In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of sums of random variables. We derive the first order upper-tail behaviour of the weighted sum of bivariate random variables under weak…

The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…