Related papers: Spatial extreme values: variational techniques and…
Several recent works have explored stochastic gradient methods for variational inference that exploit the geometry of the variational-parameter space. However, the theoretical properties of these methods are not well-understood and these…
In this work, we deal with extreme value theory in the context of continued fractions using techniques from probability theory, ergodic theory and real analysis. We give an upper bound for the rate of convergence in the Doeblin-Iosifescu…
Models for extreme values accommodating non-stationarity have been amply studied and evaluated from a parametric perspective. Whilst these models are flexible, in the sense that many parametrizations can be explored, they assume an…
Accurate estimation of the frequency and magnitude of successive extreme events in energy demand is critical for strategic resource planning. Traditional approaches based on extreme value theory (EVT) are typically limited to modelling…
Extreme environmental phenomena such as major precipitation events manifestly exhibit spatial dependence. Max-stable processes are a class of asymptotically-justified models that are capable of representing spatial dependence among extreme…
We establish a theory for multivariate extreme value analysis of dynamical systems. Namely, we provide conditions adapted to the dynamical setting which enable the study of dependence between extreme values of the components of…
The classical modeling of spatial extremes relies on asymptotic models (i.e., max-stable processes or $r$-Pareto processes) for block maxima or peaks over high thresholds, respectively. However, at finite levels, empirical evidence often…
We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…
Using a variational technique, we generalize the statistical physics approach of learning from random examples to make it applicable to real data. We demonstrate the validity and relevance of our method by computing approximate estimators…
We study non-stationary stochastic processes arising from sequential dynamical systems built on maps with a neutral fixed points and prove the existence of Extreme Value Laws for such processes. We use an approach developed in \cite{FFV16},…
Statistical modelling of spatial extreme events has gained increasing attention over the last few decades with max-stable processes, and more recently $r$-Pareto processes, becoming the reference tools for the statistical analysis of…
We derive exact expressions for the finite-time statistics of extrema (maximum and minimum) of the spatial displacement and the fluctuating entropy flow of biased random walks. Our approach captures key features of extreme events in…
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…
The impact of an extreme climate event depends strongly on its geographical scale. Max-stable processes can be used for the statistical investigation of climate extremes and their spatial dependencies on a continuous area. Most existing…
Currently available models for spatial extremes suffer either from inflexibility in the dependence structures that they can capture, lack of scalability to high dimensions, or in most cases, both of these. We present an approach to spatial…
In this paper, we analyze several instrumental records of temperatures at different locations by using new techniques originally developed for the analysis of extreme values of dynamical systems. We show that they have the same recurrence…
We study extremal statistics and return intervals in stationary long-range correlated sequences for which the underlying probability density function is bounded and uniform. The extremal statistics we consider e.g., maximum relative to…
The main objective of this paper is to develop extreme value theory for $\vartheta$-expansions. We establish the limit distribution of the maximum value in a $\vartheta$-continued fraction mixing stationary stochastic process, along with…
In this work, we report the emergence of extreme events in a damped and driven velocity-dependent mechanical system. We observe that the extreme events emerge at multiple points. We further notice that the extreme events occur symmetrically…
In environmental science applications, extreme events frequently exhibit a complex spatio-temporal structure, which is difficult to describe flexibly and estimate in a computationally efficient way using state-of-art parametric…