Related papers: Extreme value statistics of correlated random vari…
In a wide variety of situations, anomalies in the behaviour of a complex system, whose health is monitored through the observation of a random vector X = (X1,. .. , X d) valued in R d , correspond to the simultaneous occurrence of extreme…
In environmental sciences, it is often of interest to assess whether the dependence between extreme measurements has changed during the observation period. The aim of this work is to propose a statistical test that is particularly sensitive…
Much of statistics relies upon four key elements: a law of large numbers, a calculus to operationalize stochastic convergence, a central limit theorem, and a framework for constructing local approximations. These elements are…
This article presents methods for estimating extreme probabilities, beyond the range of the observations. These methods are model-free and applicable to almost any sample size. They are grounded in order statistics theory and have a wide…
The EVA 2023 data competition consisted of four challenges, ranging from interval estimation for very high quantiles of univariate extremes conditional on covariates, point estimation of unconditional return levels under a custom loss…
The generalized extreme value (GEV) distribution is commonly employed to help estimate the likelihood of extreme events in many geophysical and other application areas. The recently proposed blended generalized extreme value (bGEV)…
We attempt to bring some modest unity to three subareas of heavy tail analysis and extreme value theory: limit laws for componentwise maxima of iid random variables;hidden regular variation and asymptotic independence;conditioned limit laws…
This brief paper summarize the chances offered by the Peak-Over-Threshold method, related with analysis of extremes. Identification of appropriate Value at Risk can be solved by fitting data with a Generalized Pareto Distribution. Also an…
Promising technologies such as massive multiple-input and multiple-output, reconfigurable intelligent reflecting surfaces, non-terrestrial networks, millimetre wave communication, ultra-reliable lowlatency communication are envisioned as…
The learning and evaluation of energy-based latent variable models (EBLVMs) without any structural assumptions are highly challenging, because the true posteriors and the partition functions in such models are generally intractable. This…
Simultaneous concurrence of extreme values across multiple climate variables can result in large societal and environmental impacts. Therefore, there is growing interest in understanding these concurrent extremes. In many applications, not…
The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these…
Statistical analysis of extremes can be used to predict the probability of future extreme events, such as large rainfalls or devastating windstorms. The quality of these forecasts can be measured through scoring rules. Locally scale…
The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…
We introduce the concept of geometric extremal graphical models, which are defined through the gauge function of the limit set obtained from suitably scaled random vectors in light-tailed margins. For block graphs, we prove results relating…
We review the question of the extreme values attained by a random process. We relate it to level crossings either to one boundary (first-passage problems) and two boundaries (escape problems). The extremes studied are the maximum, the…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
The extreme values theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological…
In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems. In this setting, recent works have shown how to get a statistics of extremes in agreement with the classical Extreme…
In this paper we perform an analytical and numerical study of Extreme Value distributions in discrete dynamical systems that have a singular measure. Using the block maxima approach described in Faranda et al. [2011] we show that,…