相关论文: Probability-Matching Predictors for Extreme Extrem…
Real-time probability forecasts for binary outcomes are routine in sports, online experimentation, medicine, and finance. Retrospective narratives, however, often hinge on pathwise extremes: for example, a forecast that becomes "90%…
The analysis of extremal dependence in high dimensions has recently attracted considerable interest. Existing methodology primarily focuses on modeling and estimation of extremal dependence structures, often supported by concentration…
We use a functional analogue of the quantile function for probability measures on $\mathbb{R}^d$ to characterize a novel limit Poisson point process for radially recentred and rescaled random vectors under a radial-directional…
Unbiased location- and scale-invariant `elemental' estimators for the GPD tail parameter are constructed. Each involves three log-spacings. The estimators are unbiased for finite sample sizes, even as small as N=3. It is shown that the…
Suppose that we have a method which estimates the conditional probabilities of some unknown stochastic source and we use it to guess which of the outcomes will happen. We want to make a correct guess as often as it is possible. What…
The present paper considers modified extension of the exponential distribution with three parameters. We study the main properties of this new distribution, with special emphasis on its median, mode and moments function and some…
Recent years have witnessed the success of adaptive (or unified) approaches in estimating symmetric properties of discrete distributions, where one first obtains a distribution estimator independent of the target property, and then plugs…
We present a new nonparametric mixture-of-experts model for multivariate regression problems, inspired by the probabilistic k-nearest neighbors algorithm. Using a conditionally specified model, predictions for out-of-sample inputs are based…
We consider the problem of estimating small ball probabilities $\mathbb P\{f(G) \leqslant \delta \mathbb Ef(G)\}$ for sub-additive,positively homogeneous functions $f$ with respect to the Gaussian measure. We establish estimates that depend…
Recently attention has been drawn to practical problems with the use of unbounded Pareto distributions, for instance when there are natural upper bounds that truncate the probability tail. Aban, Meerschaert and Panorska (2006) derived the…
Gaussian process (GP) models provide a powerful tool for prediction but are computationally prohibitive using large data sets. In such scenarios, one has to resort to approximate methods. We derive an approximation based on a composite…
In samples from a heavy-tailed distribution a second-order approximation is often use to approximate the tail function. Based on the parameters of the approximation, an optimal sample fraction can be estimated which is then used to estimate…
Impact assessment of natural hazards requires the consideration of both extreme and non-extreme events. Extensive research has been conducted on the joint modeling of bulk and tail in univariate settings; however, the corresponding body of…
In public discussions of the quality of forecasts, attention typically focuses on the predictive performance in cases of extreme events. However, the restriction of conventional forecast evaluation methods to subsets of extreme observations…
The study of geometric extremes, where extremal dependence properties are inferred from the deterministic limiting shapes of scaled sample clouds, provides an exciting approach to modelling the extremes of multivariate data. These shapes,…
Robust estimators, like the median of a point set, are important for data analysis in the presence of outliers. We study robust estimators for locationally uncertain points with discrete distributions. That is, each point in a data set has…
Computing the similarity between two probability distributions is a recurring theme across control. We introduce a unified family of distances between the probability distributions of two random variables that is based on the discrepancy…
We propose and compare methods for the analysis of extreme events in complex systems governed by PDEs that involve random parameters, in situations where we are interested in quantifying the probability that a scalar function of the…
The upper tail of a claim size distribution of a property line of business is frequently modelled by Pareto distribution. However, the upper tail does not need to be Pareto distributed, extraordinary shapes are possible. Here, the…
Most extreme events in real life can be faithfully modeled as random realizations from a Generalized Pareto distribution, which depends on two parameters: the scale and the shape. In many actual situations, one is mostly concerned with the…