Related papers: Generalized extreme shock models with a possibly i…
Extreme value theory offers a statistical framework for quantifying the risk of rare events, with the generalized Pareto (GP) distribution providing the canonical limit model for univariate threshold exceedances. In many applications,…
The modeling of time-to-event data, also known as survival analysis, requires specialized methods that can deal with censoring and truncation, time-varying features and effects, and that extend to settings with multiple competing events.…
This paper summarizes the state of knowledge and ongoing research on methods and techniques for resilience evaluation, taking into account the resilience-scaling challenges and properties related to the ubiquitous computerized systems. We…
We study correlation properties of the generalized elastic model which accounts for the dynamics of polymers, membranes, surfaces and fluctuating interfaces, among others. We develop a theoretical framework which leads to the emergence of…
Structural models with no solution are incoherent, and those with multiple solutions are incomplete. We show that models with occasionally binding constraints are not generically coherent. Coherency requires restrictions on the parameters…
We introduce a class of continuous-time bivariate phase-type distributions for modeling dependencies from common shocks. The construction uses continuous-time Markov processes that evolve identically until an internal common-shock event,…
Damage scenarios for large networks are considered. The cascade scenario is described by means of powers of adjacency matrix. More difficult probabilistic variants of the large network damage are modeling by Markov chains. For reliability…
This paper is concerned with inference in threshold regression models when the practitioners do not know whether at the threshold point the true specification has a kink or a jump. We nest previous works that assume either continuity or…
Constructed facilities should be robust with respect to the loss of load-bearing elements due to abnormal events. Yet, strengthening structures to withstand such damage has a significant impact on construction costs. Strengthening costs…
In this article, we consider models for time-to-event data obtained from experiments in which stress levels are altered at intermediate stages during the observation period. These experiments, known as step-stress tests, belong to the…
When assessing the impact of extreme events, it is often not just a single component, but the combined behaviour of several components which is important. Statistical modelling using multivariate generalized Pareto (GP) distributions…
Coastal flooding drives considerable risks to many communities, but projections of future flood risks are deeply uncertain. The paucity of observations of extreme events often motivates the use of statistical approaches to model the…
The coarse spatial resolution of gridded climate models, such as general circulation models, limits their direct use in projecting socially relevant variables like extreme precipitation. Most downscaling methods estimate the conditional…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
The threshold network model is a type of finite random graphs. In this paper, we introduce a generalized threshold network model. A pair of vertices with random weights is connected by an edge when real-valued functions of the pair of…
Electric power-systems are one of the most important critical infrastructures. In recent years, they have been exposed to extreme stress due to the increasing demand, the introduction of distributed renewable energy sources, and the…
Starting from coupled fluid-kinetic equations for the modeling of laden flows, we derive relevant viscous corrections to be added to asymptotic hydrodynamic systems, by means of Chapman-Enskog expansions and analyse the shock profile…
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical…
A new class of probabilistic models for cascading failure propagation in interconnected systems is proposed. The models take into account important characteristics of real systems that are not considered in existing generic approaches.…
Despite the successes of the Standard Model of particle physics, it is known to suffer from a number of deficiencies. Several of these can be addressed within non-supersymmetric theories of grand unification based on $\mathrm{SO}(10)$.…