Related papers: Multivariate Extreme Value Theory Based Channel Mo…
In single-antenna fluid antenna systems (FASs), the transceiver dynamically selects the antenna port with the strongest instantaneous channel to enhance link reliability. However, deriving accurate yet tractable performance expressions…
Our contribution is to widen the scope of extreme value analysis applied to discrete-valued data. Extreme values of a random variable $X$ are commonly modeled using the generalized Pareto distribution, a method that often gives good results…
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the…
We introduce and study Multi-Quantile estimators for the parameters $( \xi, \sigma, \mu)$ of Generalized Extreme Value (GEV) distributions to provide a robust approach to extreme value modeling. Unlike classical estimators, such as the…
In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values is unavailable. This research was motivated by an analysis of the degree distributions in a large social network. The degree…
We propose a novel extremal dependence measure called the partial tail-correlation coefficient (PTCC), in analogy to the partial correlation coefficient in classical multivariate analysis. The construction of our new coefficient is based on…
The Generalized Pareto Distribution (GPD) plays a central role in modelling heavy tail phenomena in many applications. Applying the GPD to actual datasets however is a non-trivial task. One common way suggested in the literature to…
We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of dependence with the multivariate tail dependence. Its…
Simultaneous occurrences of extreme events need not imply symmetric or reciprocal tail dependence. However, most existing measures of extremal dependence are inherently symmetric and hence often fail to capture directional influence in tail…
Consider $n$ i.i.d. random vectors on $\mathbb{R}^2$, with unknown, common distribution function $F$. Under a sharpening of the extreme value condition on $F$, we derive a weighted approximation of the corresponding tail copula process.…
Ultra-Reliable Low Latency Communication (URLLC) is one of the distinctive features of the upcoming 5G wireless communication, going down to packet error rates (PER) of $10^{-9}$. In this paper we discuss the statistical properties of the…
In both high-performance computing (HPC) environments and the public cloud, the duration of time to retrieve or save your results is simultaneously unpredictable and important to your over all resource budget. It is generally accepted…
Deep Learning is applied to energy markets to predict extreme loads observed in energy grids. Forecasting energy loads and prices is challenging due to sharp peaks and troughs that arise due to supply and demand fluctuations from intraday…
This article summarizes the contribution of team genEVA to the EVA (2023) Conference Data Challenge. The challenge comprises four individual tasks, with two focused on univariate extremes and two related to multivariate extremes. In the…
In spectrum-sharing cognitive radio systems, the transmit power of secondary users has to be very low due to the restrictions on the tolerable interference power dictated by primary users. In order to extend the coverage area of secondary…
We consider forecasting functional time series of extreme values within a generalised extreme value distribution (GEV). The GEV distribution can be characterised using the three parameters (location, scale and shape). As a result, the…
Modelling dependencies between climate extremes is important for climate risk assessment, for instance when allocating emergency management funds. In statistics, multivariate extreme value theory is often used to model spatial extremes.…
Differential testing is a highly effective technique for automatically detecting software bugs and vulnerabilities when the specifications involve an analysis over multiple executions simultaneously. Differential fuzzing, in particular,…
The vanilla method in univariate extreme-value theory consists of fitting the three-parameter Generalized Extreme-Value (GEV) distribution to a sample of block maxima. Despite claims to the contrary, the asymptotic normality of the maximum…
Expected risk minimization (ERM) is at the core of many machine learning systems. This means that the risk inherent in a loss distribution is summarized using a single number - its average. In this paper, we propose a general approach to…