Related papers: Extreme value laws in dynamical systems under phys…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for…
Extreme value theory is part and parcel of any study of order statistics in one dimension. Our aim here is to consider such large sample theory for the maximum distance to the origin, and the related maximum "interpoint distance," in…
Extreme value (EV) statistics of correlated systems are widely investigated in many fields, spanning the spectrum from weather forecasting to earthquake prediction. Does the unavoidable discrete sampling of a continuous correlated…
We search for the signature of universal properties of extreme events, theoretically predicted for Axiom A flows, in a chaotic and high dimensional dynamical system by studying the convergence of GEV (Generalized Extreme Value) and GP…
This paper presents an innovative approach to Extreme Value Analysis (EVA) by introducing the Extreme Value Dynamic Benchmarking Method (EVDBM). EVDBM integrates extreme value theory to detect extreme events and is coupled with the novel…
Risk-sensitive reinforcement learning (RL) has garnered significant attention in recent years due to the growing interest in deploying RL agents in real-world scenarios. A critical aspect of risk awareness involves modeling highly rare risk…
The method to design exponentially stable adaptive observers is proposed for linear time-invariant systems parameterized by unknown physical parameters. Unlike existing adaptive solutions, the system state-space matrices A, B are not…
Extreme events gain the attention of researchers due to their utmost importance in various contexts ranging from finance to climatology. This brings such recurrent events to the limelight of attention in interdisciplinary research. A…
Currently available models for spatial extremes suffer either from inflexibility in the dependence structures that they can capture, lack of scalability to high dimensions, or in most cases, both of these. We present an approach to spatial…
Motivated by observations that suggest the presence of extremely massive clusters at uncomfortably high redshifts for the standard cosmological model to explain, we develop a theoretical framework for the study of the most massive haloes,…
In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional…
This book provides a comprehensive introduction for the study of extreme events in the context of dynamical systems. The introduction provides a broad overview of the interdisciplinary research area of extreme events, underlining its…
The classical multivariate extreme-value theory concerns the modeling of extremes in a multivariate random sample, suggesting the use of max-stable distributions. In this work, the classical theory is extended to the case where aggregated…
Missing data occur in a variety of applications of extreme value analysis. In the block maxima approach to an extreme value analysis, missingness is often handled by either ignoring missing observations or dropping a block of observations…
Phenomena such as air pollution levels are of greatest interest when observations are large, but standard prediction methods are not specifically designed for large observations. We propose a method, rooted in extreme value theory, which…
Statistical properties of coupled dynamic-stochastic systems are studied within a combination of the maximum information principle and the superstatistical approach. The conditions at which the Shannon entropy functional leads to a…
The conventional use of the Generalized Extreme Value (GEV) distribution to model block maxima may be inappropriate when extremes are actually structured into multiple heterogeneous groups. In this work, we propose a novel approach for…
Extreme Value Theory (EVT) is exploited to determine the global stability threshold $R_g$ of plane Couette flow --the flow of a viscous fluid in the space between two parallel plates-- whose laminar or turbulent behavior depends on the…
We introduce a new dynamical indicator of stability based on the Extreme Value statistics showing that it provides an insight on the local stability properties of dynamical systems. The indicator perform faster than other based on the…
Block maxima methods constitute a fundamental part of the statistical toolbox in extreme value analysis. However, most of the corresponding theory is derived under the simplifying assumption that block maxima are independent observations…