Related papers: Model averaging with mixed criteria for estimating…
Precisely estimating out-of-sample upper quantiles is very important in risk assessment and in engineering practice for structural design to prevent a greater disaster. For this purpose, the generalized extreme value (GEV) distribution has…
Motivated by the analysis of extreme rainfall data, we introduce a general Bayesian hierarchical model for estimating the probability distribution of extreme values of intermittent random sequences, a common problem in geophysical and…
This paper studies parameter estimation using L-moments, an alternative to traditional moments with attractive statistical properties. The estimation of model parameters by matching sample L-moments is known to outperform maximum likelihood…
When extreme weather events affect large areas, their regional to sub-continental spatial scale is important for their impacts. We propose a novel machine learning (ML) framework that integrates spatial extreme-value theory to model weather…
The Laplace approximation (LA) has been proposed as a method for approximating the marginal likelihood of statistical models with latent variables. However, the approximate maximum likelihood estimators (MLEs) based on the LA are often…
Model averaging (MA) and ensembling play a crucial role in statistical and machine learning practice. When multiple candidate models are considered, MA techniques can be used to weight and combine them, often resulting in improved…
Insurance products frequently cover significant claims arising from a variety of sources. To model losses from these products accurately, actuarial models must account for high-severity claims. A widely used strategy is to apply a mixture…
We present a novel statistical treatment, the "metastatistics of extreme events", for calculating the frequency of extreme events. This approach, which is of general validity, is the proper statistical framework to address the problem of…
A new method is proposed for modelling the yearly maxima of sub-daily precipitation, with the aim of producing spatial maps of return level estimates. Yearly precipitation maxima are modelled using a Bayesian hierarchical model with a…
Model averaging (MA), a technique for combining estimators from a set of candidate models, has attracted increasing attention in machine learning and statistics. In the existing literature, there is an implicit understanding that MA can be…
Traditionally model averaging has been viewed as an alternative to model selection with the ultimate goal to incorporate the uncertainty associated with the model selection process in standard errors and confidence intervals by using a…
Profile likelihood intervals of large quantiles in Extreme Value distributions provide a good way to estimate these parameters of interest since they take into account the asymmetry of the likelihood surface in the case of small and…
Producing high-quality forecasts of key climate variables, such as temperature and precipitation, on subseasonal time scales has long been a gap in operational forecasting. This study explores an application of machine learning (ML) models…
A new approach for Bayesian model averaging (BMA) and selection is proposed, based on the mixture model approach for hypothesis testing in Kaniav et al., 2014. Inheriting from the good properties of this approach, it extends BMA to cases…
Aiming to estimate extreme precipitation forecast quantiles, we propose a nonparametric regression model that features a constant extreme value index. Using local linear quantile regression and an extrapolation technique from extreme value…
Projections of changes in extreme climate are sometimes predicted by using multi-model ensemble methods such as Bayesian model averaging (BMA) embedded with the generalized extreme value (GEV) distribution. BMA is a popular method for…
Weather extremes produce major impacts on society and ecosystems and are likely to change in likelihood and magnitude with climate change. However, very low probability events are hard to characterize statistically using observations or…
We advocate for a practical Maximum Likelihood Estimation (MLE) approach towards designing loss functions for regression and forecasting, as an alternative to the typical approach of direct empirical risk minimization on a specific target…
High quality Quantitative Precipitation Estimation at high spatiotemporal resolution is crucial to many hydrologic/hydro-meteorological designs. Optimal Quantitative Precipitation Estimation of rainfall improves the accuracy of river and…
Anomaly estimation, or the problem of finding a subset of a dataset that differs from the rest of the dataset, is a classic problem in machine learning and data mining. In both theoretical work and in applications, the anomaly is assumed to…