Related papers: Finite-State Extreme Effect Variable

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…

Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these…

Extreme value analysis is an essential methodology in the study of rare and extreme events, which hold significant interest in various fields, particularly in the context of environmental sciences. Models that employ the exceedances of…

Extreme values and the tail behavior of probability distributions are essential for quantifying and mitigating risk in complex systems of all kinds. In multivariate settings, accounting for correlations is crucial. Although extreme value…

Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional…

Although the fundamental probabilistic theory of extremes has been well developed, there are many practical considerations that must be addressed in application. The contribution of this thesis is four-fold. The first concerns the choice of…

We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of dependence with the multivariate tail dependence. Its…

We consider a general class of round-robin tournament models of equally strong players. In these models, each of the $n$ players competes against every other player exactly once. For each match between two players, the outcome is a value…

We study the distribution of maxima (Extreme Value Statistics) for sequences of observables computed along orbits generated by random transformations. The underlying, deterministic, dynamical system can be regular or chaotic. In the former…

Several theoretical results concerning event-by-event fluctuations are discussed: (1) a role of the global conservation laws and concept of statistical ensembles; (2) strongly intensive measures are introduced; they give a possibility to…

In concurrency theory, weak bisimilarity is often used to relate processes exhibiting the same observable behaviour. The probabilistic environment gives rise to several generalisations; we study the infinitary semantics, which abstracts…

An intriguing connection between extreme value statistics and traveling fronts has been found recently in a number of diverse problems. In this brief review we outline a few such problems and consider their various applications.

A finite form of de Finetti's representation theorem is established using elementary information-theoretic tools: The distribution of the first $k$ random variables in an exchangeable binary vector of length $n\geq k$ is close to a mixture…

We consider regularly varying random vectors. Our goal is to estimate in a non-parametric way some characteristics related to conditioning on an extreme event, like the tail dependence coefficient. We introduce a quasi-spectral…

We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against incorrect model assumptions underlying the application of…

Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-developed, methods for high-dimensional and complex data sets…

We study analytically and numerically the extreme value distribution of observables defined along the temporal evolution of a dynamical system. The convergence to the Gumbel law of observable recurrences gives information on the fractal…

There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…

We develop E-variables for testing whether two or more data streams come from the same source or not, and more generally, whether the difference between the sources is larger than some minimal effect size. These E-variables lead to exact,…

One of the main topics of extreme value analysis is to estimate the extreme value index, an important parameter that controls the tail behavior of the distribution. In many cases, estimating the extreme value index of the target variable…