Related papers: A Pickands type estimator of the extreme value ind…

The relationship between a response variable and its covariates can vary significantly, especially in scenarios where covariates take on extremely high or low values. This paper introduces a max-linear tail regression model specifically…

We present an analytical technique to compute the probability of rare events in which the largest eigenvalue of a random matrix is atypically large (i.e.\ the right tail of its large deviations). The results also transfer to the left tail…

Quantile regression is an important tool for estimation of conditional quantiles of a response Y given a vector of covariates X. It can be used to measure the effect of covariates not only in the center of a distribution, but also in the…

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…

The distributed Hill estimator is a divide-and-conquer algorithm for estimating the extreme value index when data are stored in multiple machines. In applications, estimates based on the distributed Hill estimator can be sensitive to the…

We revisit the estimation of the extreme value index for randomly censored data from a heavy tailed distribution. We introduce a new class of estimators which encompasses earlier proposals given in Worms and Worms (2014) and Beirlant et al.…

The extremal index is a quantity introduced in extreme value theory to measure the presence of clusters of exceedances. In the dynamical systems framework, it provides important information about the dynamics of the underlying systems. In…

The estimation of the Extreme Value Index (EVI) is fundamental in extreme value analysis but suffers from high variance due to reliance on only a few extreme observations. We propose a control variates based transfer learning approach in a…

We extend the setting of the right endpoint estimator introduced in Fraga Alves and Neves (Statist. Sinica 24:1811--1835, 2014) to the broader class of light-tailed distributions with finite endpoint, belonging to some domain of attraction…

Many random phenomena, including life-testing and environmental data, show positive values and excess zeros, which pose modeling challenges. In life testing, immediate failures result in zero lifetimes, often due to defects or poor quality,…

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 investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…

We introduce a new type of estimator for the spectral tail process of a regularly varying time series. The approach is based on a characterizing invariance property of the spectral tail process, which is incorporated into the new estimator…

We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the…

A novel and comprehensive methodology designed to tackle the challenges posed by extreme values in the context of random censorship is introduced. The main focus is on the analysis of integrals based on the product-limit estimator of…

Extreme value analysis in the presence of censoring is receiving much attention as it has applications in many disciplines, including survival and reliability studies. Estimation of extreme value index (EVI) is of primary importance as it…

We aim to analyze the behaviour of a finite-time stochastic system, whose model is not available, in the context of more rare and harmful outcomes. Standard estimators are not effective in making predictions about such outcomes due to their…

The extreme value index (EVI) characterizes the tail behavior of a distribution and is crucial for extreme value theory. Inference on the EVI is challenging due to data scarcity in the tail region. We propose a novel method for constructing…

This article presents methods for estimating extreme probabilities, beyond the range of the observations. These methods are model-free and applicable to almost any sample size. They are grounded in order statistics theory and have a wide…

On the basis of Nelson-Aalen nonparametric estimator of the cumulative distribution function, we provide a weak approximation to tail product-limit process for randomly right-censored heavy-tailed data. In this context, a new consistent…