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Modeling extreme precipitation and temperature is vital for understanding the impacts of climate change, as hazards like intense rainfall and record-breaking temperatures can result in severe consequences, including floods, droughts, and…
Based on the concept of a L\'evy copula to describe the dependence structure of a multivariate L\'evy process we present a new estimation procedure. We consider a parametric model for the marginal L\'evy processes as well as for the L\'evy…
A generalized stepping stone model with $\Xi$-resampling mechanism is a two dimensional probability-measure-valued stochastic process whose moment dual is similar to that of the classical stepping stone model except that Kingman's…
Research on Poisson regression analysis for dependent data has been developed rapidly in the last decade. One of difficult problems in a multivariate case is how to construct a cross-correlation structure and at the meantime make sure that…
Predictions of the uncertainty associated with extreme events are a vital component of any prediction system for such events. Consequently, the prediction system ought to be probabilistic in nature, with the predictions taking the form of…
We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations…
We develop a non-parametric Bayesian prior for a family of random probability measures by extending the Polya tree ($PT$) prior to a joint prior for a set of probability measures $G_1,\dots,G_n$, suitable for meta-analysis with event time…
Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…
Motivated by empirical studies investigating treatment effects in survival analysis, we propose a bivariate transformation model to quantify the impact of a binary treatment on a time-to-event outcome. The model equations are connected…
Self-exciting processes of Hawkes type have been used to model various phenomena including earthquakes, neural activities, and views of online videos. Studies of temporal networks have revealed that sequences of social interevent times for…
Having reliable estimates of the occurrence rates of extreme events is highly important for insurance companies, government agencies and the general public. The rarity of an extreme event is typically expressed through its return period,…
Statistical modeling of multivariate and spatial extreme events has attracted broad attention in various areas of science. Max-stable distributions and processes are the natural class of models for this purpose, and many parametric families…
The paper deals with disorders detection in the multivariate stochastic process. We consider the multidimensional Poisson process or the multivariate renewal process. This class of processes can be used as a description of the distributed…
Recurrent event data are common in clinical studies when participants are followed longitudinally, and are often subject to a terminal event. With the increasing popularity of large pragmatic trials with a heterogeneous source population,…
The Gaussian Graphical Model (GGM) is a popular tool for incorporating sparsity into joint multivariate distributions. The G-Wishart distribution, a conjugate prior for precision matrices satisfying general GGM constraints, has now been in…
Rare event simulation and rare event probability estimation are important tasks within the analysis of systems subject to uncertainty and randomness. Simultaneously, accurately estimating rare event probabilities is an inherently difficult…
This paper proposes a modelling strategy to infer the impact of a covariate on the dependence structure of right-censored clustered event time data. The joint survival function of the event times is modelled using a parametric conditional…
In recent environmental studies extreme events have a great impact. The yearly and monthly maxima of environment related indices can be analysed by the tools of extreme value theory. For instance, the monthly maxima of the fire weather…
The frequency and magnitude of weather extreme events have increased significantly during the past few years in response to anthropogenic climate change. However, global statistical characteristics and underlying physical mechanisms are…
We propose a nonparametric bivariate time-varying coefficient model for longitudinal measurements with the occurrence of a terminal event that is subject to right censoring. The time-varying coefficients capture the longitudinal…