Related papers: Dissecting the multivariate extremal index and tai…
Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory of risk measures and makes it possible to extend…
The tail correlation function (TCF) is one of the most popular bivariate extremal dependence measures that has entered the literature under various names. We study to what extent the TCF can distinguish between different classes of…
We develop an asymptotic theory for extremes in decomposable graphical models by presenting results applicable to a range of extremal dependence types. Specifically, we investigate the weak limit of the distribution of suitably normalised…
A common object to describe the extremal dependence of a $d$-variate random vector $X$ is the stable tail dependence function $L$. Various parametric models have emerged, with a popular subclass consisting of those stable tail dependence…
Regarding the analysis of Web communication, social and complex networks the fast finding of most influential nodes in a network graph constitutes an important research problem. We use two indices of the influence of those nodes, namely,…
Many random phenomena, including life-testing and environmental data, show positive values and excess zeros, which pose modeling challenges. In life testing, immediate failures result in zero lifetimes, often due to defects or poor quality,…
We consider a stationary random field indexed by an increasing sequence of subsets of $\mathbb{Z}^d$ obeying a very broad geometrical assumption on how the sequence expands. Under certain mixing and local conditions, we show how the tail…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
Max-stable processes have proved to be useful for the statistical modelling of spatial extremes. Several representations of max-stable random fields have been proposed in the literature. For statistical inference it is often assumed that…
Markov switching models are often used to analyze financial returns because of their ability to capture frequently observed stylized facts. In this paper we consider a multivariate Student-t version of the model as a viable alternative to…
Estimating the probability of extreme events involving multiple risk factors is a critical challenge in fields such as finance and climate science. This paper proposes a semi-parametric approach to estimate the probability that a…
We re-visit tail the index regressions framework. For linear specifications, we find that the usual full rank condition can fail because conditioning on extreme outcomes causes regressors to degenerate to constants. Taking this into…
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of bivariate tail dependence since it evaluates the underlying copula only along the diagonal. To address this limitation, several measures of…
We study the extremes of multivariate regularly varying random fields. The crucial tools in our study are the tail field and the spectral field, notions that extend the tail and spectral processes of Basrak and Segers (2009). The spatial…
We propose a new and interpretable class of high-dimensional tail dependence models based on latent linear factor structures. Specifically, extremal dependence of an observable vector is assumed to be driven by a lower-dimensional latent…
The upper extremes of a Markov chain with regulary varying stationary marginal distribution are known to exhibit under general conditions a multiplicative random walk structure called the tail chain. More generally, if the Markov chain is…
The extremal index is a quantity introduced in extreme value theory to measure the presence of clusters of exceedances. In the dynamical systems framework, it provides important information about the dynamics of the underlying systems. In…
This paper focuses on rare events associated with the tail probabilities of the extremal eigenvalues in the $\beta$-Jacobi ensemble, which plays a critical role in both multivariate statistical analysis and statistical physics. Under the…
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…
When applying multivariate extreme value statistics to analyze tail risk in compound events defined by a multivariate random vector, one often assumes that all dimensions share the same extreme value index. While such an assumption can be…