Related papers: Linking representations for multivariate extremes …
How to include censored data in a statistical analysis is a recur-rent issue in statistics. In multivariate extremes, the dependence structure of large observations can be characterized in terms of a non parametric angular measure, while…
The EVA 2023 data competition consisted of four challenges, ranging from interval estimation for very high quantiles of univariate extremes conditional on covariates, point estimation of unconditional return levels under a custom loss…
We study the sharp bounds of $\mathbb{E}[X_1\cdots X_d]$ when the univariate marginal distributions are known, but the dependence structure between them is unspecified. Maximizing products over non-negative variables is straightforward via…
The statistical theory of extremes is extended to observations that are non-stationary and not independent. The non-stationarity over time and space is controlled via the scedasis (tail scale) in the marginal distributions. Spatial…
The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual…
A bivariate random vector can exhibit either asymptotic independence or dependence between the largest values of its components. When used as a statistical model for risk assessment in fields such as finance, insurance or meteorology, it is…
We consider strictly stationary heavy tailed time series whose finite-dimensional exponent measures are concentrated on axes, and hence their extremal properties cannot be tackled using classical multivariate regular variation that is…
For an m-dimensional multivariate extreme value distribution there exist 2^{m}-1 exponent measures which are linked and completely characterise the dependence of the distribution and all of its lower dimensional margins. In this paper we…
The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures…
We consider deep multivariate models for heterogeneous collections of random variables. In the context of computer vision, such collections may e.g. consist of images, segmentations, image attributes, and latent variables. When developing…
The classical multivariate extreme value theory tries to capture the extremal dependence between the components under a multivariate domain of attraction condition and it requires each of the components to be in the domain of attraction of…
Invariants underlying shape inference are elusive: a variety of shapes can give rise to the same image, and a variety of images can be rendered from the same shape. The occluding contour is a rare exception: it has both image salience, in…
Regularly varying stochastic processes are able to model extremal dependence between process values at locations in random fields. We investigate the empirical extremogram as an estimator of dependence in the extremes. We provide conditions…
A network evolution with predicted tail and extremal indices of PageRank and the Max-Linear Model used as node influence indices in random graphs is considered. The tail index shows a heaviness of the distribution tail. The extremal index…
Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a function on the unit simplex subject to…
We investigate the estimation of multivariate extreme models with a discrete spectral measure using spherical clustering techniques. The primary contribution involves devising a method for selecting the order, that is, the number of…
The study of concomitants has recently met a renewed interest due to its applications in selection procedures. For instance, concomitants are used in ranked-set sampling, to achieve efficiency and reduce cost when compared to the simple…
We study the structure of representations, defined as approximations of minimal sufficient statistics that are maximal invariants to nuisance factors, for visual data subject to scaling and occlusion of line-of-sight. We derive analytical…
The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…
We address the problem of prediction for extreme observations by proposing an extremal linear prediction method. We construct an inner product space of nonnegative random variables derived from transformed-linear combinations of independent…