Related papers: Modelling non-stationarity in asymptotically indep…
Non-stationary extremal dependence, whereby the relationship between the extremes of multiple variables evolves over time, is commonly observed in many environmental and financial data sets. However, most multivariate extreme value models…
Modelling the extremal dependence of bivariate variables is important in a wide variety of practical applications, including environmental planning, catastrophe modelling and hydrology. The majority of these approaches are based on the…
It is no secret that statistical modelling often involves making simplifying assumptions when attempting to study complex stochastic phenomena. Spatial modelling of extreme values is no exception, with one of the most common such…
Modelling the extremal dependence structure of spatial data is considerably easier if that structure is stationary. However, for data observed over large or complicated domains, non-stationarity will often prevail. Current methods for…
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…
Max-stable processes are natural models for spatial extremes because they provide suitable asymptotic approximations to the distribution of maxima of random fields. In the recent past, several parametric families of stationary max-stable…
Modeling nonstationarity that often prevails in extremal dependence of spatial data can be challenging, and typically requires bespoke or complex spatial models that are difficult to estimate. Inference for stationary and isotropic models…
Extremal graphical models are sparse statistical models for multivariate extreme events. The underlying graph encodes conditional independencies and enables a visual interpretation of the complex extremal dependence structure. For the…
Understanding variable dependence, particularly eliciting their statistical properties given a set of covariates, provides the mathematical foundation in practical operations management such as risk analysis and decision-making given…
Different dependence scenarios can arise in multivariate extremes, entailing careful selection of an appropriate class of models. In bivariate extremes, the variables are either asymptotically dependent or are asymptotically independent.…
In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies with determining which subsets of variables can take…
Models for extreme values accommodating non-stationarity have been amply studied and evaluated from a parametric perspective. Whilst these models are flexible, in the sense that many parametrizations can be explored, they assume an…
Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long- and short-range dependence of extremes may both appear. In…
Extreme events, such as wave-storms, need to be characterized for coastal infrastructure design purposes. Such description should contain information on both the univariate behaviour and the joint-dependence of storm-variables. These two…
We develop a unified statistical framework for attributing heatwaves as spatio-temporal phenomena under climate change. We quantify the impact of anthropogenic forcing on the probability and persistence of heatwaves not captured by standard…
We study the spatio-temporal features of extremal sub-daily precipitation data over the Piave river basin in northeast Italy using a rich database of observed hourly rainfall. Empirical evidence suggests that both the marginal and…
Many environmental processes exhibit weakening spatial dependence as events become more extreme. Well-known limiting models, such as max-stable or generalized Pareto processes, cannot capture this, which can lead to a preference for models…
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.…
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…
Multivariate extreme value theory is concerned with modeling the joint tail behavior of several random variables. Existing work mostly focuses on asymptotic dependence, where the probability of observing a large value in one of the…