Related papers: Inference for bivariate extremes via a semi-parame…
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…
Leveraging the recently emerging geometric approach to multivariate extremes and the flexibility of normalising flows on the hypersphere, we propose a principled deep-learning-based methodology that enables accurate joint tail extrapolation…
This work has been motivated by the challenge of the 2017 conference on Extreme-Value Analysis (EVA2017), with the goal of predicting daily precipitation quantiles at the $99.8\%$ level for each month at observed and unobserved locations.…
We propose a semiparametric method for fitting the tail of a heavy-tailed population given a relatively small sample from that population and a larger sample from a related background population. We model the tail of the small sample as an…
Accurate subgrid-scale closures are essential for weather/climate models, where predicting extreme events is critical. Traditional closures have structural errors, e.g., producing excessive diffusion that dampens extremes. Artificial…
The tail of a bivariate distribution function in the domain of attraction of a bivariate extreme-value distribution may be approximated by the one of its extreme-value attractor. The extreme-value attractor has margins that belong to a…
We proposed a semi-parametric estimation procedure in order to estimate the parameters of a max-mixture model and also of a max-stable model (inverse max-stable model) as an alternative to composite likelihood. A good estimation by the…
Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins…
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…
We propose a residual randomization procedure designed for robust Lasso-based inference in the high-dimensional setting. Compared to earlier work that focuses on sub-Gaussian errors, the proposed procedure is designed to work robustly in…
Diffusion models have emerged as powerful generative frameworks with widespread applications across machine learning and artificial intelligence systems. While current research has predominantly focused on linear diffusions, these…
Heavy-tailed probability distributions are extremely useful and play a crucial role in modeling different types of financial data sets. This study presents a two-pronged methodology. First, a mixture probability distribution is created by…
Conventional methods for extreme event estimation rely on well-chosen parametric models asymptotically justified from extreme value theory (EVT). These methods, while powerful and theoretically grounded, could however encounter a difficult…
Many causal estimands are only partially identifiable since they depend on the unobservable joint distribution between potential outcomes. Stratification on pretreatment covariates can yield sharper bounds; however, unless the covariates…
Max-stable processes have been expanded to quantify extremal dependence in spatio-temporal data. Due to the interaction between space and time, spatio-temporal data are often complex to analyze. So, characterizing these dependencies is one…
We study inference on the common stochastic trends in a non-stationary, $N$-variate time series $y_{t}$, in the possible presence of heavy tails. We propose a novel methodology which does not require any knowledge or estimation of the tail…
Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is…
We study counterfactual regression, which aims to map input features to outcomes under hypothetical scenarios that differ from those observed in the data. This is particularly useful for decision-making when adapting to sudden shifts in…
We discuss the use of likelihood asymptotics for inference on risk measures in univariate extreme value problems, focusing on estimation of high quantiles and similar summaries of risk for uncertainty quantification. We study whether…
The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynamics, as a potentially more efficient driver than daily…