Related papers: Outliers, Extreme Events and Multiscaling
Extreme events are often multivariate in nature. A compound extreme occurs when a combination of variables jointly produces a significant impact, even if individual components are not necessarily marginally extreme. Compound extremes have…
Factor models have large potencial in the modeling of several natural and human phenomena. In this paper we consider a multivariate time series $\mb{Y}_n$, ${n\geq 1}$, rescaled through random factors $\mb{T}_n$, ${n\geq 1}$, extending some…
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…
We study a one-dimensional chain of harmonically coupled units in an asymmetric anharmonic soft potential. Due to nonlinear localisation of energy, this system exhibits extreme events in the sense that individual elements of the chain show…
We investigate the predictability of extreme events in time series. The focus of this work is to understand under which circumstances large events are better predictable than smaller events. Therefore we use a simple prediction algorithm…
Numerical climate models are complex and combine a large number of physical processes. They are key tools in quantifying the relative contribution of potential anthropogenic causes (e.g., the current increase in greenhouse gases) on high…
Multistability is a phenomenon prevalent in many natural systems. In climate, for example, it allows the possibility of irreversible consequences on planetary scale as a result of climate change. Indeed, a climate ``tipping element'' is a…
Ex ante forecast outcomes should be interpreted as counterfactuals (potential histories), with errors as the spread between outcomes. Reapplying measurements of uncertainty about the estimation errors of the estimation errors of an…
Human activities can play a crucial role in the statistical properties of observables in many complex systems such as social, technological and economic systems. We demonstrate this by looking into the heavy-tailed distributions of…
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 show that multiscaling properties of developed turbulence in shell models, which lead to anomalous scaling exponents in the inertial range, are determined exclusively by instanton dynamics. Instantons represent correlated extreme events…
The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…
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…
The total number of fatalities of an epidemic outbreak is a dramatic but extremely informative quantity. Knowledge of the statistics of this quantity allows the calculation of the mean total number of fatalities conditioned to the fact that…
The main approach to inference for multivariate extremes consists in approximating the joint upper tail of the observations by a parametric family arising in the limit for extreme events. The latter may be expressed in terms of…
Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme…
Motivated by recent epidemic outbreaks, including those of COVID-19, we solve the canonical problem of calculating the dynamics and likelihood of extensive outbreaks in a population within a large class of stochastic epidemic models with…
Abrupt and rapid high-amplitude changes in a dynamical system's states known as extreme event appear in many processes occurring in nature, such as drastic climate patterns, rogue waves, or avalanches. These events often entail catastrophic…
Extreme weather events have significant consequences, dominating the impact of climate on society. While high-resolution weather models can forecast many types of extreme events on synoptic timescales, long-term climatological risk…
The recurrence times between extreme events have been the central point of statistical analyses in many different areas of science. Simultaneously, the Poincar\'e recurrence time has been extensively used to characterize nonlinear dynamical…