Related papers: Extreme Value Based Estimation of Critical Single …
We propose a novel method for studying the production of anticentauro events in high energy heavy ion collisions utilizing Chebyshev expansion coefficients. These coefficients have proved to be very efficient in investigating the pattern of…
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…
Survival analysis, or time-to-event analysis, is an important and widespread problem in healthcare research. Medical research has traditionally relied on Cox models for survival analysis, due to their simplicity and interpretability. Cox…
We develop a new extreme value theory for repeated cross-sectional and panel data to construct asymptotically valid confidence intervals (CIs) for conditional extremal quantiles from a fixed number $k$ of nearest-neighbor tail observations.…
We propose and analyze the application of statistical functional depth metrics for the selection of extreme scenarios in day-ahead grid planning. Our primary motivation is screening of probabilistic scenarios for realized load and renewable…
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…
Typically, in the dynamical theory of extremal events, the function that gauges the intensity of a phenomenon is assumed to be convex and maximal, or singular, at a single, or at most a finite collection of points in phase--space. In this…
This paper considers importance sampling for estimation of rare-event probabilities in a specific collection of Markovian jump processes used for e.g. modelling of credit risk. Previous attempts at designing importance sampling algorithms…
Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…
Vital signs are crucial in intensive care units (ICUs). They are used to track the patient's state and to identify clinically significant changes. Predicting vital sign trajectories is valuable for early detection of adverse events.…
We are interested in bounding probabilities of rare events in the context of computer experiments. These rare events depend on the output of a physical model with random input variables. Since the model is only known through an expensive…
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the…
In environmental applications of extreme value statistics, the underlying stochastic process is often modeled either as a max-stable process in continuous time/space or as a process in the domain of attraction of such a max-stable process.…
We give an overview of several aspects arising in the statistical analysis of extreme risks with actuarial applications in view. In particular it is demonstrated that empirical process theory is a very powerful tool, both for the asymptotic…
We estimate the value of the survival probability for central exclusive production, in a model, which is based on the CGC/saturation approach. Hard and soft processes are described in the same framework. At LHC energies, we obtain a small…
Spatiotemporal extreme events are interesting phenomena, both from a fundamental point of view, as manifestations of complexity in dynamical systems, and for their possible applications in different research fields. Here, we present some…
We develop and generalize the theory of extreme value for non-stationary stochastic processes, mostly by weakening the uniform mixing condition that was previously used in this setting. We apply our results to non-autonomous dynamical…
In the competing risks problem, an important role is played by the cumulative incidence function (CIF), whose value at time $t$ is the probability of failure by time $t$ from a particular type of failure in the presence of other risks. In…
In this paper, we discuss the emergence of extreme events in a parametrically driven non-polynomial mechanical system with a velocity-dependent potential. We confirm the occurrence of extreme events from the probability distribution…
The intensive care unit (ICU) manages critically ill patients, many of whom face a high risk of mortality. Early and accurate prediction of in-hospital mortality within the first 24 hours of ICU admission is crucial for timely clinical…