Related papers: Extreme-value Statistics: Rudiments and applicatio…
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…
Intense precipitation events are commonly known to be associated with an increased risk of flooding. As a result of the societal and infrastructural risks linked with flooding, extremes of precipitation require careful modelling. Extreme…
We examine statistical pictures of violent conflicts over the last 2000 years, finding techniques for dealing with incompleteness and unreliability of historical data. We introduce a novel approach to apply extreme value theory to…
Like all natural hazards, space weather exhibits occasional extreme events over timescales of decades to centuries. Historical events provoked much interest but had little economic impact. However, the widespread adoption of advanced…
Modern statistical analyses often encounter datasets with massive sizes and heavy-tailed distributions. For datasets with massive sizes, traditional estimation methods can hardly be used to estimate the extreme value index directly. To…
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…
Improving Importance Sampling estimators for rare event probabilities requires sharp approximations of conditional densities. This is achieved for events E_{n}:=(f(X_{1})+...+f(X_{n}))\inA_{n} where the summands are i.i.d. and E_{n} is a…
In this paper we discuss the problem of the estimation of extreme event occurrence probability for data drawn from some multifractal process. We also study the heavy (power-law) tail behavior of probability density function associated with…
We study extremal statistics and return intervals in stationary long-range correlated sequences for which the underlying probability density function is bounded and uniform. The extremal statistics we consider e.g., maximum relative to…
We propose and compare methods for the analysis of extreme events in complex systems governed by PDEs that involve random parameters, in situations where we are interested in quantifying the probability that a scalar function of the…
We propose a method for the accurate estimation of rare event or failure probabilities for expensive-to-evaluate numerical models in high dimensions. The proposed approach combines ideas from large deviation theory and adaptive importance…
The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in…
Inference over tails is performed by applying only the results of extreme value theory. Whilst such theory is well defined and flexible enough in the univariate case, multivariate inferential methods often require the imposition of…
Climate extremes such as floods, storms, and heatwaves have caused severe economic and human losses across Europe in recent decades. To support the European Union's climate resilience efforts, we propose a statistical framework for…
A central problem in uncertainty quantification is how to characterize the impact that our incomplete knowledge about models has on the predictions we make from them. This question naturally lends itself to a probabilistic formulation, by…
This paper introduces a method for spatial interpolation of extreme values, and in particular targets the case in which conventional data, resulting from a measurement for example, are available at only a few locations. To overcome this the…
Econophysics, is based on the premise that some ideas and methods from physics can be applied to economic situations. We intend to show in this paper how a physics concept such as entropy can be applied to an economic problem. In so doing,…
Spatial maps of extreme precipitation are crucial in flood protection. With the aim of producing maps of precipitation return levels, we propose a novel approach to model a collection of spatially distributed time series where the…
Extreme weather events epitomize high cost: to society through their physical impacts, and to computer servers that simulate them to assess risk and advance physical understanding. It costs hundreds of simulation years to sample a few…
The frequency of disruptive and newly emerging threats (e.g. man-made attacks--cyber and physical attacks; extreme natural events--hurricanes, earthquakes, and floods) has escalated dramatically in the last decade. Impacts of these events…