Related papers: On the spatial extent of extreme threshold exceeda…
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…
Identifying directions where extreme events occur is a major challenge in multivariate extreme value analysis. In this paper, we use the concept of sparse regular variation introduced by Meyer and Wintenberger (2021)} to infer the tail…
Consider two stationary time series with heavy-tailed marginal distributions. We aim to detect whether they have a causal relation, that is, if a change in one causes a change in the other. Usual methods for causal discovery are not well…
We introduce a new formulation of structural causal models for extremes, called the extremal structural causal model (eSCM). Unlike conventional structural causal models, where randomness is governed by a probability distribution, eSCMs use…
In this work, we focus on some conditional extreme risk measures estimation for elliptical random vectors. In a previous paper, we proposed a methodology to approximate extreme quantiles, based on two extremal parameters. We thus propose…
Extreme events are an important theme in various areas of science because of their typically devastating effects on society and their scientific complexities. The latter is particularly true if the underlying dynamics does not lead to…
We study the extremes of multivariate regularly varying random fields. The crucial tools in our study are the tail field and the spectral field, notions that extend the tail and spectral processes of Basrak and Segers (2009). The spatial…
Having reliable estimates of the occurrence rates of extreme events is highly important for insurance companies, government agencies and the general public. The rarity of an extreme event is typically expressed through its return period,…
Our contribution is to widen the scope of extreme value analysis applied to discrete-valued data. Extreme values of a random variable $X$ are commonly modeled using the generalized Pareto distribution, a method that often gives good results…
We explore some properties of the conditional distribution of an i.i.d. sample under large exceedances of its sum. Thresholds for the asymptotic independance of the summands are observed, in contrast with the classical case when the…
Understanding and mapping extreme heat is critical for risk management and public health planning, particularly in regions with complex terrain and heterogeneous climate. We present a case study of extreme heat in the Four Corners region of…
The aim of this paper is to study asymptotic geometric properties almost surely or/and in probability of extreme order statistics of an i.i.d. random field (potential) indexed by sites of multidimensional lattice cube, the volume of which…
This work extends the studies on the minimum and extremal process of a supercritical branching random walk outside the boundary case which cannot be reduced to the boundary case. We study here the situation where the log-generating function…
We consider the extremal properties of the highly flexible univariate extended skew-normal distribution. We derive the well-known Mills' inequalities and Mills' ratio for the extended skew-normal distribution and establish the asymptotic…
The aim of this paper is to investigate extremum problems with pay-off being the total variational distance metric defined on the space of probability measures, subject to linear functional constraints on the space of probability measures,…
We study rare events in networks with both internal and external noise, and develop a general formalism for analyzing rare events that combines pair-quenched techniques and large-deviation theory. The probability distribution, shape, and…
Motivated by the increasing availability of data of functional nature, we develop a general probabilistic and statistical framework for extremes of regularly varying random elements $X$ in $L^2[0,1]$. We place ourselves in a…
This brief paper summarize the chances offered by the Peak-Over-Threshold method, related with analysis of extremes. Identification of appropriate Value at Risk can be solved by fitting data with a Generalized Pareto Distribution. Also an…
A mass ejection model in a time-dependent random environment with both temporal and spatial correlations is introduced. When the environment has a finite correlation length, individual particle trajectories are found to diffuse at large…
Recent extreme value theory literature has seen significant emphasis on the modelling of spatial extremes, with comparatively little consideration of spatio-temporal extensions. This neglects an important feature of extreme events: their…