Related papers: Multivariate extreme values for dynamical systems
In multivariate extreme value theory (MEVT), the focus is on analysis outside of the observable sampling zone, which implies that the region of interest is associated to high risk levels. This work provides tools to include directional…
We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…
We study the extremes for a class of a symmetric stable random fields with long range dependence. We prove functional extremal theorems both in the space of sup measures and in the space of cadlag functions of several variables. The limits…
Extreme events gain the attention of researchers due to their utmost importance in various contexts ranging from finance to climatology. This brings such recurrent events to the limelight of attention in interdisciplinary research. A…
Extreme value statistics (EVS) concerns the study of the statistics of the maximum or the minimum of a set of random variables. This is an important problem for any time-series and has applications in climate, finance, sports, all the way…
The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
We consider discrete time dynamical systems and show the link between Hitting Time Statistics (the distribution of the first time points land in asymptotically small sets) and Extreme Value Theory (distribution properties of the partial…
This paper introduces coordinate-independent methods for analysing multiscale dynamical systems using numerical techniques based on the transfer operator and its adjoint. In particular, we present a method for testing whether an arbitrary…
We study the distribution of maxima (Extreme Value Statistics) for sequences of observables computed along orbits generated by random transformations. The underlying, deterministic, dynamical system can be regular or chaotic. In the former…
The extreme values theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological…
This study provides a summary of the theory which enables the analysis of extreme values, i.e., of measurements acquired from the observation of extraordinary/rare physical phenomena. The formalism is developed in a transparent way,…
We propose a spectral clustering algorithm for analyzing the dependence structure of multivariate extremes. More specifically, we focus on the asymptotic dependence of multivariate extremes characterized by the angular or spectral measure…
We analyze the extreme value dependence of independent, not necessarily identically distributed multivariate regularly varying random vectors. More specifically, we propose estimators of the spectral measure locally at some time point and…
Multivariate extreme value theory assumes a multivariate domain of attraction condition for the distribution of a random vector. This necessitates that each component satisfies a marginal domain of attraction condition. An approximation of…
We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against incorrect model assumptions underlying the application of…
The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…
As part of global climate change an accelerated hydrologic cycle (including an increase in heavy precipitation) is anticipated. So, it is of great importance to be able to quantify high-impact hydrologic relationships, for example, the…
We consider stationary sequences whose marginal tail is subexponential and lies in the Gumbel Maximum domain of attraction. Due to the extremely strong dependence, their extreme values are caused by multiple big values and are clustered in…
Factor models have large potencial in the modeling of several natural and human phenomena. In this paper we consider a multivariate time series $\mb{Y}_n$, ${n\geq 1}$, rescaled through random factors $\mb{T}_n$, ${n\geq 1}$, extending some…