Related papers: Extreme-value analysis in nano-biological systems:…
Extreme value analysis is an essential methodology in the study of rare and extreme events, which hold significant interest in various fields, particularly in the context of environmental sciences. Models that employ the exceedances of…
Estimation of extreme conditional quantiles is often required for risk assessment of natural hazards in climate and geo-environmental sciences and for quantitative risk management in statistical finance, econometrics, and actuarial…
This book provides a comprehensive introduction for the study of extreme events in the context of dynamical systems. The introduction provides a broad overview of the interdisciplinary research area of extreme events, underlining its…
We present the methods employed by team `Uniofbathtopia' as part of the Data Challenge organised for the 13th International Conference on Extreme Value Analysis (EVA2023), including our winning entry for the third sub-challenge. Our…
The distribution of block maxima of sequences of independent and identically-distributed random variables is used to model extreme values in many disciplines. The traditional extreme value (EV) theory derives a closed-form expression for…
Turbulent flow fields are characterized by extreme events that are statistically intermittent and carry a significant amount of energy and physical importance. To emulate these flows, we introduce the extreme variational Autoencoder (xVAE),…
Modeling heterogeneity on heavy-tailed distributions under a regression framework is challenging, and classical statistical methodologies usually place conditions on the distribution models to facilitate the learning procedure. However,…
Extreme value analysis in the presence of censoring is receiving much attention as it has applications in many disciplines, including survival and reliability studies. Estimation of extreme value index (EVI) is of primary importance as it…
We establish a theory for multivariate extreme value analysis of dynamical systems. Namely, we provide conditions adapted to the dynamical setting which enable the study of dependence between extreme values of the components of…
Extreme value (EV) statistics of correlated systems are widely investigated in many fields, spanning the spectrum from weather forecasting to earthquake prediction. Does the unavoidable discrete sampling of a continuous correlated…
Extremes play a special role in Anomaly Detection. Beyond inference and simulation purposes, probabilistic tools borrowed from Extreme Value Theory (EVT), such as the angular measure, can also be used to design novel statistical learning…
Understanding multivariate extreme events play a crucial role in managing the risks of complex systems since extremes are governed by their own mechanisms. Conditional on a given variable exceeding a high threshold (e.g.\ traffic…
Extreme value theory is concerned with probabilistic and statistical questions related to very high or very low values in sequences of random variables and in stochastic processes. The subject has a rich mathematical theory and also a long…
Statistical extreme value theory is concerned with the use of asymptotically motivated models to describe the extreme values of a process. A number of commonly used models are valid for observed data that exceed some high threshold.…
Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional…
Capturing the extremal behaviour of data often requires bespoke marginal and dependence models which are grounded in rigorous asymptotic theory, and hence provide reliable extrapolation into the upper tails of the data-generating…
The generalized extreme value (GEV) distribution is commonly employed to help estimate the likelihood of extreme events in many geophysical and other application areas. The recently proposed blended generalized extreme value (bGEV)…
From environmental sciences to finance, there is a growing demand for methods that can assess the risks of extreme events beyond those observed in available data. Extrapolating extreme events beyond the range of the data is not obvious.…
We present the winning strategy for the EVA2025 Data Challenge, which aimed to estimate the probability of extreme precipitation events. These events occurred at most once in the dataset making the challenge fundamentally one of…
A major issue of extreme value analysis is the determination of the shape parameter $\xi$ common to Generalized Extreme Value (GEV) and Generalized Pareto (GP) distributions, which drives the tail behavior, and is of major impact on the…