Related papers: A dynamic extreme value model with applications to…

Because of the impact of extreme heat waves and heat domes on society and biodiversity, their study is a key challenge. We specifically study long-lasting extreme heat waves, which are among the most important for climate impacts. Physics…

In this paper, we propose a new dynamical model to study the two-stage volatility evolution of stock market index after extreme events, and find that the volatility after extreme events follows a stretched exponential decay in the initial…

In risk management, often the probability must be estimated that a random vector falls into an extreme failure set. In the framework of bivariate extreme value theory, we construct an estimator for such failure probabilities and analyze its…

Risk assessment for extreme events requires accurate estimation of high quantiles that go beyond the range of historical observations. When the risk depends on the values of observed predictors, regression techniques are used to interpolate…

Ultra-reliable low-latency communications (URLLC) require innovative approaches to modeling channel and interference dynamics, extending beyond traditional average estimates to encompass entire statistical distributions, including rare and…

The sporadic large fluctuations are seen in the stock market due to changes in fundamental parameters, technical setups, and external factors. These large fluctuations are termed as Extreme Events (EE). The EEs may be positive or negative…

In econometrics, the Efficient Market Hypothesis posits that asset prices reflect all available information in the market. Several empirical investigations show that market efficiency drops when it undergoes extreme events. Many models for…

In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…

Extreme events frequently occur in real-world time series and often carry significant practical implications. In domains such as climate and healthcare, these events, such as floods, heatwaves, or acute medical episodes, can lead to serious…

Estimating the probability of rare channel conditions is a central challenge in ultra-reliable wireless communication, where random events, such as deep fades, can cause sudden variations in the channel quality. This paper proposes a…

Volcanic tremor is key to our understanding of active magmatic systems but, due to its complexity, there is still a debate concerning its origins and how it can be used to characterize eruptive dynamics. In this study we leverage machine…

Verifying probabilistic forecasts for extreme events is a highly active research area because popular media and public opinions are naturally focused on extreme events, and biased conclusions are readily made. In this context, classical…

This paper introduces a novel sub-sampling block maxima technique to model and characterize environmental extreme risks. We examine the relationships between block size and block maxima statistics derived from the Gaussian and generalized…

In 5G and beyond networks, the radio communication between a User Equipment (UE) and a base station (gNodeB or gNB), also known as the air interface, is a critical component of network access and connectivity. During the connection…

Periodic inspections are necessary to keep railroad tracks in state of good repair and prevent train accidents. Automatic track inspection using machine vision technology has become a very effective inspection tool. Because of its…

The study of the extreme weather space events is important for a technological dependent society. Extreme Value Theory could be decisive to characterize those extreme events in order to have the knowledge to make decisions in technological,…

Studying extreme events and how they evolve in a changing climate is one of the most important current scientific challenges. Starting from complex climate models, a key difficulty is to be able to run long enough simulations in order to…

Extreme event attribution characterizes how anthropogenic climate change may have influenced the probability and magnitude of selected individual extreme weather and climate events. Attribution statements often involve quantification of the…

Catastrophic losses caused by natural disasters receive a growing concern about the severe rise in magnitude and frequency. The constructions of insurance and financial management scheme become increasingly necessary to diversify the…

In this article, we present an approach which allows to take into account the effect of extreme values in the modeling of financial asset returns and in the valorisation of associeted options. Specifically, the marginal distribution of…