Related papers: A Bimodal Model for Extremes Data
Weibull distribution is widely used in modelling health data. However, its lack of sufficient tail flexibility often results in poor fit in extreme events. We proposed another three-parameter extension of the Weibull distribution with…
A new class of distributions, called Generalized One Parameter Polynomial Exponential-G family of distributions is proposed for modelling lifetime data. An account of the structural and reliability properties of the new class is presented.…
When analysing extreme values, two alternative statistical approaches have historically been held in contention: the block maxima method (or annual maxima method, spurred by hydrological applications) and the peaks-over-threshold. Clamoured…
We consider the extreme value statistics of $N$ independent and identically distributed random variables, which is a classic problem in probability theory. When $N\to\infty$, fluctuations around the maximum of the variables are described by…
The present paper considers modified extension of the exponential distribution with three parameters. We study the main properties of this new distribution, with special emphasis on its median, mode and moments function and some…
The max-stable process is an asymptotically justified model for spatial extremes. In particular, we focus on the hierarchical extreme-value process (HEVP), which is a particular max-stable process that is conducive to Bayesian computing.…
The effective use of available information in extreme value analysis is critical because extreme values are scarce. Thus, using the $r$ largest order statistics (rLOS) instead of the block maxima is encouraged. Based on the four-parameter…
In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional…
This paper presents a new methodology for generating continuous statistical distributions, integrating the exponentiated odds ratio within the framework of survival analysis. This new method enhances the flexibility and adaptability of…
Extremes play a special role in Anomaly Detection. Beyond inference and simulation purposes, probabilistic tools borrowed from Extreme Value Theory (EVT), such as the angular measure, can also be used to design novel statistical learning…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
In extreme value analysis, tail behavior of a heavy-tailed data distribution is modeled by a Pareto-type distribution in which the so-called extreme value index (EVI) controls the tail behavior. For heavy-tailed data obtained from multiple…
We present the winning strategy for the EVA2025 Data Challenge, which aimed to estimate the probability of extreme precipitation events. These events occurred at most once in the dataset making the challenge fundamentally one of…
Maximum-type statistics of certain functions of the sample covariance matrix of high-dimensional vector time series are studied to statistically confirm or reject the null hypothesis that a data set has been collected under normal…
This paper introduces a new three-parameters model called the Weibull-G exponential distribution (WGED) distribution which exhibits bathtub-shaped hazard rate. Some of it's statistical properties are obtained including quantile, moments,…
In numerous instances, the generalized exponential distribution can be used as an alternative to the most widely used non-regular family of distributions: Weibull, gamma, lognormal with three-parameters when analyzing lifetime or any skewed…
Capturing the extremal behaviour of data often requires bespoke marginal and dependence models which are grounded in rigorous asymptotic theory, and hence provide reliable extrapolation into the upper tails of the data-generating…
This brief paper summarize the chances offered by the Peak-Over-Threshold method, related with analysis of extremes. Identification of appropriate Value at Risk can be solved by fitting data with a Generalized Pareto Distribution. Also an…
A critical problem in extreme value theory (EVT) is the estimation of parameters for the limit probability distributions. Block maxima (BM), an approach in EVT that seeks estimates of parameters of the generalized extreme value distribution…
A geometric representation for multivariate extremes, based on the shapes of scaled sample clouds in light-tailed margins and their so-called limit sets, has recently been shown to connect several existing extremal dependence concepts.…