Related papers: Efficient Modeling of Spatial Extremes over Large …
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…
Spatial generalized linear mixed-effects models are popularly used to analyze spatially indexed univariate responses. However, with modern technology, it is common to observe vector-valued mixed-type responses, e.g., a combination of…
Gaussian processes (GPs) are commonplace in spatial statistics. Although many non-stationary models have been developed, there is arguably a lack of flexibility compared to equipping each location with its own parameters. However, the…
To draw inference on serial extremal dependence within heavy-tailed Markov chains, Drees, Segers and Warcho{\l} [Extremes (2015) 18, 369--402] proposed nonparametric estimators of the spectral tail process. The methodology can be extended…
Flexible random scale-mixture models provide a framework for capturing a broad range of extremal dependence structures. However, likelihood-based inference under the peaks-over-threshold setting is often computationally infeasible, due to…
Spatial models are used in a variety research areas, such as environmental sciences, epidemiology, or physics. A common phenomenon in many spatial regression models is spatial confounding. This phenomenon takes place when spatially indexed…
We introduce the extremal range, a local statistic for studying the spatial extent of extreme events in random fields on $\mathbb{R}^d$. Conditioned on exceedance of a high threshold at a location $s$, the extremal range at $s$ is the…
The computational cost of dynamical downscaling limits ensemble sizes in regional downscaling efforts. We present a newly developed generative-AI approach to greatly expand the scope of such downscaling, enabling fine-scale future changes…
Graphical models describe associations between variables through the notion of conditional independence. Gaussian graphical models are a widely used class of such models where the relationships are formalized by non-null entries of the…
This paper introduces a class of copula models for spatial data, based on multivariate Pareto-mixture distributions. We explore the tail properties of these models, demonstrating their ability to capture both tail dependence and asymptotic…
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the…
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.…
Conditional independence, graphical models and sparsity are key notions for parsimonious statistical models and for understanding the structural relationships in the data. The theory of multivariate and spatial extremes describes the risk…
Analysing non-Gaussian spatial-temporal data requires introducing spatial as well as temporal dependence in generalised linear models through the link function of an exponential family distribution. Unlike in Gaussian likelihoods, inference…
The behavior of extreme observations is well-understood for time series or spatial data, but little is known if the data generating process is a structural causal model (SCM). We study the behavior of extremes in this model class, both for…
In situations where both extreme and non-extreme data are of interest, modelling the whole data set accurately is important. In a univariate framework, modelling the bulk and tail of a distribution has been extensively studied before.…
As climate change drives an increase in global extremes, it is critical for Bangladesh, a nation highly vulnerable to these impacts, to assess future risks for effective adaptation and mitigation planning. Downscaling coarse-resolution…
The distribution of spatially aggregated data from a stochastic process $X$ may exhibit a different tail behavior than its marginal distributions. For a large class of aggregating functionals $\ell$ we introduce the $\ell$-extremal…
We consider stationary configurations of points in Euclidean space which are marked by positive random variables called scores. The scores are allowed to depend on the relative positions of other points and outside sources of randomness.…
We introduce the concept of geometric extremal graphical models, which are defined through the gauge function of the limit set obtained from suitably scaled random vectors in light-tailed margins. For block graphs, we prove results relating…