Related papers: A remarkable example on clustering of extremes for…
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…
Environmental data science for spatial extremes has traditionally relied heavily on max-stable processes. Even though the popularity of these models has perhaps peaked with statisticians, they are still perceived and considered as the…
Generalized autoregressive conditionally heteroskedastic (GARCH) processes are widely used for modelling features commonly found in observed financial returns. The extremal properties of these processes are of considerable interest for…
The classical multivariate extreme-value theory concerns the modeling of extremes in a multivariate random sample, suggesting the use of max-stable distributions. In this work, the classical theory is extended to the case where aggregated…
Random Constraint Satisfaction Problems exhibit several phase transitions when their density of constraints is varied. One of these threshold phenomena, known as the clustering or dynamic transition, corresponds to a transition for an…
The occurrence of extreme events like heavy precipitation or storms at a certain location often shows a clustering behaviour and is thus not described well by a Poisson process. We construct a general model for the inter-exceedance times in…
In an earlier paper, we introduced and studied a system of hierarchically interacting measure-valued random processes which describes a large population of individuals carrying types and living in colonies labelled by the hierarchical group…
This paper devises a regression-type model for the situation where both the response and covariates are extreme. The proposed approach is designed for the setting where both the response and covariates are themselves block maxima, and thus…
In this work, we investigate the extremal behaviour of left-stationary symmetric $\alpha$-stable (S$\alpha$S) random fields indexed by finitely generated free groups. We begin by studying the rate of growth of a sequence of partial maxima…
In a wide variety of situations, anomalies in the behaviour of a complex system, whose health is monitored through the observation of a random vector X = (X1,. .. , X d) valued in R d , correspond to the simultaneous occurrence of extreme…
We present precision Monte Carlo data and analytic arguments for an asymmetric exclusion process, involving two species of particles driven in opposite directions on a $2 \times L$ lattice. We propose a scenario which resolves a stark…
Models for extreme values accommodating non-stationarity have been amply studied and evaluated from a parametric perspective. Whilst these models are flexible, in the sense that many parametrizations can be explored, they assume an…
The article describes the limiting distribution of the extremes of observations that arrive in clusters. We start by studying the tail behaviour of an individual cluster and then we apply the developed theory to determine the limiting…
We analyze the cluster formation in a non-ergodic stochastic system as a result of counter-flow, with the aid of an exactly solvable model. To illustrate the clustering, a two species asymmetric simple exclusion process with impurities on a…
The tail process $\boldsymbol{Y}=(Y_{\boldsymbol{i}})_{\boldsymbol{i}\in\mathbb{Z}^d}$ of a stationary regularly varying random field $\boldsymbol{X}=(X_{\boldsymbol{i}})_{\boldsymbol{i}\in\mathbb{Z}^d}$ represents the asymptotic local…
We study statistical and computational limits of clustering when the means of the centres are sparse and their dimension is possibly much larger than the sample size. Our theoretical analysis focuses on the model $X_i = z_i \theta +…
Analysis of the rare and extreme values through statistical modeling is an important issue in economical crises, climate forecasting, and risk management of financial portfolios. Extreme value theory provides the probability models needed…
The max-stable process is an asymptotically justified model for spatial extremes. In particular, we focus on the hierarchical extreme-value process (HEVP), which is a particular max-stable process that is conducive to Bayesian computing.…
We examine the classic problem of homogeneous nucleation and growth by deriving and analyzing a fully discrete stochastic master equation. Upon comparison with results obtained from the corresponding mean-field Becker-D\"{o}ring equations…
We propose a new threshold selection method for the nonparametric estimation of the extremal index of stochastic processes. The so-called discrepancy method was proposed as a data-driven smoothing tool for estimation of a probability…