Related papers: Extreme value analysis of actuarial risks: estimat…
We present a new method for estimating the edge of a two-dimensional bounded set, given a finite random set of points drawn from the interior. The estimator is based both on Haar series and extreme values of the point process. We give…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
This paper presents a novel semiparametric method to study the effects of extreme events on binary outcomes and subsequently forecast future outcomes. Our approach, based on Bayes' theorem and regularly varying (RV) functions, facilitates a…
Graphical models have been widely used in applications ranging from medical expert systems to natural language processing. Their popularity partly arises since they are intuitive representations of complex inter-dependencies among variables…
To capture the extremal behaviour of complex environmental phenomena in practice, flexi\-ble techniques for modelling tail behaviour are required. In this paper, we introduce a variety of such methods, which were used by the Lancopula…
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…
I propose a new procedure to estimate the False Alarm Probability, the measure of significance for peaks of periodograms. The key element of the new procedure is the use of generalized extreme-value distributions, the limiting distribution…
The analysis of extremal dependence in high dimensions has recently attracted considerable interest. Existing methodology primarily focuses on modeling and estimation of extremal dependence structures, often supported by concentration…
We introduce the notion of multiple extremal integrals as an extension of single extremal integrals, which have played important roles in extreme value theory. The multiple extremal integrals are formulated in terms of a product-form random…
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the…
A novel and comprehensive methodology designed to tackle the challenges posed by extreme values in the context of random censorship is introduced. The main focus is on the analysis of integrals based on the product-limit estimator of…
We develop an extreme value framework for CoVaR centered on $v(q \mid p ; C)$, the copula-adjusted probability level, or equivalently, the CoVaR on the uniform (0,1) scale. We characterize the possible tail regimes of $v(q \mid p ; C)$…
We propose a novel approach to estimate the Cox model with temporal covariates. Our new approach treats the temporal covariates as arising from a longitudinal process which is modeled jointly with the event time. Different from 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…
Tail Value-at-Risk (TVaR) is a widely adopted risk measure playing a critically important role in both academic research and industry practice in insurance. In data applications, TVaR is often estimated using the empirical method, owing to…
As a useful and elegant tool of extreme value theory, the study of point processes on a metric space is important and necessary for the analyses of heavy-tailed functional data. This paper focuses on the definition and properties of such…
A popular technique for selecting and tuning machine learning estimators is cross-validation. Cross-validation evaluates overall model fit, usually in terms of predictive accuracy. In causal inference, the optimal choice of estimator…
In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value distributions. This method-of-moment technique can be applied…
This paper presents a new model for characterising temporal dependence in exceedances above a threshold. The model is based on the class of trawl processes, which are stationary, infinitely divisible stochastic processes. The model for…
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…