Related papers: Generalized Extreme Value distribution parameters …
Multistable processes, that is, processes which are, at each "time", tangent to a stable process, but where the index of stability varies along the path, have been recently introduced as models for phenomena where the intensity of jumps is…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
The system decomposition theory has recently been developed for the dynamic analysis of nonlinear compartmental systems. The application of this theory to the ecosystem analysis has also been introduced in a separate article. Based on this…
Capturing the dependence structure of multivariate extreme events is a major concern in many fields involving the management of risks stemming from multiple sources, e.g. portfolio monitoring, insurance, environmental risk management and…
Extreme events such as natural and economic disasters leave lasting impacts on society and motivate the analysis of extremes from data. While classical statistical tools based on Gaussian distributions focus on average behaviour and can…
This article aims to investigate sufficient conditions for the stability of stochastic differential equations with a random structure, particularly in contexts involving the presence of concentration points. The proof of asymptotic…
Intrinsically motivated artificial agents learn advantageous behavior without externally-provided rewards. Previously, it was shown that maximizing mutual information between agent actuators and future states, known as the empowerment…
A network evolution with predicted tail and extremal indices of PageRank and the Max-Linear Model used as node influence indices in random graphs is considered. The tail index shows a heaviness of the distribution tail. The extremal index…
Extreme values geostatistics make it possible to model the asymptotic behaviors of random phenomena which depends on space or time parameters. In this paper, we propose new models of the extremal coefficient within a spatial stationary…
An attractor of a dynamical system may represent the system's 'desirable' state. Perturbations to the system may push the system out of the basin of attraction of the desirable attractor and into undesirable states. Hence, it is important…
We exploit the asymptotic normality of the extreme value theory (EVT) based estimators of the parameters of a symmetric L\'evy-stable distribution, to construct confidence intervals. The accuracy of these intervals is evaluated through a…
Eco-driving strategies have demonstrated substantial potential for improving energy efficiency and reducing emissions, especially at signalized intersections. However, evaluations of eco-driving methods typically rely on simplified…
This paper presents a Newton-based stochastic extremum-seeking control method for real-time optimization in multi-input systems with distinct input delays. It combines predictor-based feedback and Hessian inverse estimation via stochastic…
In this article, we study finite dynamical systems defined over graphs, where the functions are applied asynchronously. Our goal is to quantify and understand stability of the dynamics with respect to the update sequence, and to relate this…
The extreme value index (EVI) characterizes the tail behavior of a distribution and is crucial for extreme value theory. Inference on the EVI is challenging due to data scarcity in the tail region. We propose a novel method for constructing…
This article deals with the stability analysis of a drilling system which is modelled as a coupled ordinary differential equation / string equation. The string is damped at the two boundaries but leading to a stable open-loop system. The…
Understanding which system structure can sustain stable dynamics is a fundamental step in the design and analysis of large scale dynamical systems. Towards this goal, we investigate here the structural stability of systems with a random…
This paper considers continuously differentiable functions of two vector variables that have (possibly a continuum of) min-max saddle points. We study the asymptotic convergence properties of the associated saddle-point dynamics…
There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…
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…