Related papers: Structural grouping of extreme value models via gr…
We develop new flexible univariate models for light-tailed and heavy-tailed data, which extend a hierarchical representation of the generalized Pareto (GP) limit for threshold exceedances. These models can accommodate departure from…
Understanding the complex structure of multivariate extremes is a major challenge in various fields from portfolio monitoring and environmental risk management to insurance. In the framework of multivariate Extreme Value Theory, a common…
Two dynamical indicators, the local dimension and the extremal index, used to quantify persistence in phase space have been developed and applied to different data across various disciplines. These are computed using the asymptotic limit of…
Recent advances in engineering technologies have enabled the collection of a large number of longitudinal features. This wealth of information presents unique opportunities for researchers to investigate the complex nature of diseases and…
The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection…
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…
We present a generic and powerful approach to study the statistics of extreme phenomena (meteorology, finance, biology...) that we apply to the statistical estimation of the tail of the distribution of earthquake sizes. The chief innovation…
Accurately quantifying tail risks-rare but high-impact events such as financial crashes or extreme weather-is a central challenge in risk management, with serially dependent data. We develop a Bayesian framework based on the Generalized…
The extreme value theory is very popular in applied sciences including Finance, economics, hydrology and many other disciplines. In univariate extreme value theory, we model the data by a suitable distribution from the general max-domain of…
We consider the problem of learning a structured multi-task regression, where the output consists of multiple responses that are related by a graph and the correlated response variables are dependent on the common inputs in a sparse but…
Finite Gaussian mixture models are widely used for model-based clustering of continuous data. Nevertheless, since the number of model parameters scales quadratically with the number of variables, these models can be easily…
We present a graph-theoretical approach to data clustering, which combines the creation of a graph from the data with Markov Stability, a multiscale community detection framework. We show how the multiscale capabilities of the method allow…
A mixture of Gaussians fit to a single curved or heavy-tailed cluster will report that the data contains many clusters. To produce more appropriate clusterings, we introduce a model which warps a latent mixture of Gaussians to produce…
A mixture of Gaussians fit to a single curved or heavy-tailed cluster will report that the data contains many clusters. To produce more appropriate clusterings, we introduce a model which warps a latent mixture of Gaussians to produce…
We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…
In various applications of heavy-tail modelling, the assumed Pareto behavior is tempered ultimately in the range of the largest data. In insurance applications, claim payments are influenced by claim management and claims may for instance…
In risk analysis, a global fit that appropriately captures the body and the tail of the distribution of losses is essential. Modelling the whole range of the losses using a standard distribution is usually very hard and often impossible due…
In a companion paper (McRobie(2013) arxiv:1304.3918), a simple set of `elemental' estimators was presented for the Generalized Pareto tail parameter. Each elemental estimator: involves only three log-spacings; is absolutely unbiased for all…
Nowadays an increasing amount of data is available and we have to deal with models in high dimension (number of covariates much larger than the sample size). Under sparsity assumption it is reasonable to hope that we can make a good…
Traditional implicit generative models are capable of learning highly complex data distributions. However, their training involves distinguishing real data from synthetically generated data using adversarial discriminators, which can lead…