Related papers: A horse racing between the block maxima method and…
We study observation-based strategies for partially-observable Markov decision processes (POMDPs) with omega-regular objectives. An observation-based strategy relies on partial information about the history of a play, namely, on the past…
This work proposes an estimator with both Peak-Over-Threshold and Block-Maxima flavors, uses it to estimate the Pickands dependence function of bivariate time series, and illustrates how it brings down the asymptotic bias and the overall…
Unlike the Probability Theory based on additivity, Statistical Inference seems to hesitate between "Additivity" and a so-called "Maxitivity" approach. After a brief overview of three types of principles for any (parametric) statistical…
In recent years several attempts have been made to extend tail modelling towards the modal part of the data. Frigessi et al. (2002) introduced dynamic mixtures of two components with a weight function {\pi} = {\pi}(x) smoothly connecting…
Structured multiple-testing problems (gatekeeping trials, dose-finding, multi-tissue eQTL mapping, bundled-challenger A/B experiments) organize hypotheses into design-imposed blocks and demand strong family-wise error rate (FWER) control…
A pervasive issue in statistical hypothesis testing is that the reported $p$-values are biased downward by data "peeking" -- the practice of reporting only progressively extreme values of the test statistic as more data samples are…
When applying a statistical method in practice it often occurs that some observations deviate from the usual assumptions. However, many classical methods are sensitive to outliers. The goal of robust statistics is to develop methods that…
The Peaks Over Threshold (POT) method is the most popular statistical method for the analysis of univariate extremes. Even though there is a rich applied literature on Bayesian inference for the POT, the asymptotic theory for such proposals…
In extreme value statistics, the peaks-over-threshold method is widely used. The method is based on the generalized Pareto distribution characterizing probabilities of exceedances over high thresholds in $\mathbb {R}^d$. We present a…
This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall of using…
Inference over tails is performed by applying only the results of extreme value theory. Whilst such theory is well defined and flexible enough in the univariate case, multivariate inferential methods often require the imposition of…
Fusing multi-modality information is known to be able to effectively bring significant improvement in video classification. However, the most popular method up to now is still simply fusing each stream's prediction scores at the last stage.…
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…
This project considers how one might augment a limited amount of data from randomized controlled trial (RCT) with more plentiful data from an observational database (ODB), in order to estimate a causal effect. In our motivating setting, the…
Cyclic block coordinate methods are a fundamental class of optimization methods widely used in practice and implemented as part of standard software packages for statistical learning. Nevertheless, their convergence is generally not well…
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…
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…
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…
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 classical extreme value theory probabilities of extreme events are estimated assuming all the components of a random vector to be in a domain of attraction of an extreme value distribution. In contrast, the conditional extreme value…