Related papers: A Model-Free Selection Criterion For The Mixing Co…
Various natural phenomena exhibit spatial extremal dependence at short spatial distances. However, existing models proposed in the spatial extremes literature often assume that extremal dependence persists across the entire domain. This is…
In this paper, different strands of literature are combined in order to obtain algorithms for semi-parametric estimation of discrete choice models that include the modelling of unobserved heterogeneity by using mixing distributions for the…
Modelling multivariate extreme events is essential when extrapolating beyond the range of observed data. Parametric models that are suitable for real-world extremes must be flexible -- particularly in their ability to capture asymmetric…
Max-stable processes have been expanded to quantify extremal dependence in spatio-temporal data. Due to the interaction between space and time, spatio-temporal data are often complex to analyze. So, characterizing these dependencies is one…
The framework of geometric extremes is based on the convergence of scaled sample clouds onto a limit set, characterized by a gauge function, with the shape of the limit set determining extremal dependence structures. While it is known that…
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 purpose of this paper is to illustrate new techniques for computing multiday extreme precipitation taken from recent theoretical advancements in extreme value theory in the framework of dynamical systems, using historical precipitation…
Max-stable processes are a common choice for modelling spatial extreme data as they arise naturally as the infinite-dimensional generalisation of multivariate extreme value theory. Statistical inference for such models is complicated by the…
Large-scale data are often characterized by some degree of inhomogeneity as data are either recorded in different time regimes or taken from multiple sources. We look at regression models and the effect of randomly changing coefficients,…
This study presents a semi-nonparametric Latent Class Choice Model (LCCM) with a flexible class membership component. The proposed model formulates the latent classes using mixture models as an alternative approach to the traditional random…
To mitigate the risk posed by extreme rainfall events, we require statistical models that reliably capture extremes in continuous space with dependence. However, assuming a stationary dependence structure in such models is often erroneous,…
An important and yet difficult problem in fitting multivariate mixture models is determining the mixture complexity. We develop theory and a unified framework for finding the nonparametric maximum likelihood estimator of a multivariate…
The spatial modeling of extreme snow is important for adequate risk management in Alpine and high altitude countries. A natural approach to such modeling is through the theory of max-stable processes, an infinite-dimensional extension of…
Modelling multivariate tail dependence is one of the key challenges in extreme-value theory. Multivariate extremes are usually characterized using parametric models, some of which have simpler submodels at the boundary of their parameter…
This thesis evaluates most of the extreme mixture models and methods that have appended in the literature and implements them in the context of finance and insurance. The paper also reviews and studies extreme value theory, time series,…
Factor models have large potencial in the modeling of several natural and human phenomena. In this paper we consider a multivariate time series $\mb{Y}_n$, ${n\geq 1}$, rescaled through random factors $\mb{T}_n$, ${n\geq 1}$, extending some…
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,…
Mixed-effect models are widely used for the analysis of correlated data such as longitudinal data and repeated measures. In this article, we study an approach to the nonparametric estimation of mixed-effect models. We consider models with…
Flexible random scale-mixture models provide a framework for capturing a broad range of extremal dependence structures. However, likelihood-based inference under the peaks-over-threshold setting is often computationally infeasible, due to…
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the…