Related papers: Extreme value statistics and some applications in …
The application of immersed boundary methods in static analyses is often impeded by poorly cut elements (small cut elements problem), leading to ill-conditioned linear systems of equations and stability problems. While these concerns may…
The extreme-value statistics of the entanglement spectrum in disordered spin chains possessing a many-body localization transition is examined. It is expected that eigenstates in the metallic or ergodic phase, behave as random states and…
nsEVDx is an open-source Python package for fitting stationary and nonstationary Extreme Value Distributions (EVDs) to extreme value data. It can be used to model extreme events in fields like hydrology, climate science, finance, and…
Extreme value analysis for time series is often based on the block maxima method, in particular for environmental applications. In the classical univariate case, the latter is based on fitting an extreme-value distribution to the sample of…
In many applications of time series models, such as climate analysis and social media analysis, we are often interested in extreme events, such as heatwave, wind gust, and burst of topics. These time series data usually exhibit a…
In this short note, I comment on the research of Pisarenko et al. (2014) regarding the extreme value theory and statistics in case of earthquake magnitudes. The link between the generalized extreme value distribution (GEVD) as an asymptotic…
The object of this paper is twofold. From one side we study the dichotomy, in terms of the Extremal Index of the possible Extreme Value Laws, when the rare events are centred around periodic or non periodic points. Then we build a general…
In many applied fields, the prediction of more severe events than those already recorded is crucial for safeguarding against potential future calamities. What-if analyses, which evaluate hypothetical scenarios up to the worst-case event,…
A key building block in the design of ultra-reliable communication systems is a wireless channel model that captures the statistics of rare events occurring due to significant fading. In this paper, we propose a novel methodology based on…
Maximum-type statistics of certain functions of the sample covariance matrix of high-dimensional vector time series are studied to statistically confirm or reject the null hypothesis that a data set has been collected under normal…
Statistical systems are conceived from the standpoint of statistical mechanics, as made of a (generally large) number of identical units and exhibiting a (generally large) number of different configurations (microstates), among which only…
Heterogeneous diffusion with spatially changing diffusion coefficient arises in many experimental systems like protein dynamics in the cell cytoplasm, mobility of cajal bodies and confined hard-sphere fluids. Here, we showcase a simple…
Extreme value theory provides rigorous theory and statistical tools for extrapolation in machine learning, particularly in settings where traditional methods struggle due to data scarcity in the tails. A broad range of tasks benefit from…
These notes were written for the mini-course "Extrema of log-correlated random variables: Principles and Examples" at the Introductory School held in January 2015 at the Centre International de Rencontres Math\'ematiques in Marseille. There…
We investigate the statistical properties of the extreme events of the solar cycle as measured by the sunspot number. The recent advances in the methodology of the theory of extreme values is applied to the maximal extremes of the time…
In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…
We apply the theory of continuous time random walks to study some aspects of the extreme value problem applied to financial time series. We focus our attention on extreme times, specifically the mean exit time and the mean first-passage…
We develop a method for the evaluation of extreme event statistics associated with nonlinear dynamical systems, using a small number of samples. From an initial dataset of design points, we formulate a sequential strategy that provides the…
Even though strongly correlated systems are abundant, only a few exceptional cases admit analytical solutions. In this paper we present a large class of solvable systems with strong correlations.. We consider a set of $N$ independent and…
In this work, we study some statistical properties of the extreme eigenstates of the randomly-weighted adjacency matrices of random graphs. We focus on two random graph models: Erd\H{o}s-R\'{e}nyi (ER) graphs and random geometric graphs…