相关论文: On the block maxima method in extreme value theory…

The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…

The block maxima method is one of the most popular approaches for extreme value analysis with independent and identically distributed observations in the domain of attraction of an extreme value distribution. The lack of a rigorous study on…

In this paper we consider the estimation problem for high quantiles of a heavy-tailed distribution from block data when only a few largest values are observed within blocks. We propose estimators for high quantiles and prove that these…

Software for computation of maximum likelihood estimates in linear structural equation models typically employs general techniques from non-linear optimization, such as quasi-Newton methods. In practice, careful tuning of initial values is…

This paper introduces a novel sub-sampling block maxima technique to model and characterize environmental extreme risks. We examine the relationships between block size and block maxima statistics derived from the Gaussian and generalized…

In this paper we investigate the performance of a variety of estimation techniques for the scale and shape parameter of the Lomax distribution. These methods include traditional methods such as the maximum likelihood estimator and the…

Multivariate extreme value statistical analysis is concerned with observations on several variables which are thought to possess some degree of tail-dependence. In areas such as the modeling of financial and insurance risks, or as the…

The block maxima method in extreme value theory consists of fitting an extreme value distribution to a sample of block maxima extracted from a time series. Traditionally, the maxima are taken over disjoint blocks of observations.…

In this paper, we discuss the application of extreme value theory in the context of stationary $\beta$-mixing sequences that belong to the Fr\'echet domain of attraction. In particular, we propose a methodology to construct bias-corrected…

Block maxima methods constitute a fundamental part of the statistical toolbox in extreme value analysis. However, most of the corresponding theory is derived under the simplifying assumption that block maxima are independent observations…

The maximum-likelihood method for quantum estimation is reviewed and applied to the reconstruction of density matrix of spin and radiation as well as to the determination of several parameters of interest in quantum optics.

A coupling method is developed for univariate extreme value theory , providing an alternative to the use of the tail empirical/quantile processes. Emphasizing the Peak-over-Threshold approach that approximates the distribution above high…

Two automatic threshold selection (TS) methods for Extreme Value analysis under a peaks-over-threshold (POT) approach are presented and evaluated, both built on: fitting the Generalized Pareto distribution (GPd) to excesses' samples over…

The Best-Worst Method (BWM) is a well-known Multi-Criteria Decision-Making (MCDM) method. This article deals with the multiplicative model of BWM. We first formulate an optimization model that is equivalent to the existing multiplicative…

This paper investigates the use of extreme value theory for modelling the distribution of demand-net-of-wind for capacity adequacy assessment. Extreme value theory approaches are well-established and mathematically justified methods for…

The stochastic block model (SBM) is a probabilistic model de- signed to describe heterogeneous directed and undirected graphs. In this paper, we address the asymptotic inference on SBM by use of maximum- likelihood and variational…

Extreme value theory for chaotic dynamical systems is a rapidly expanding area of research. Given a system and a real function (observable) defined on its phase space, extreme value theory studies the limit probabilistic laws obeyed by…

Using standard intrusive techniques when solving hyperbolic conservation laws with uncertainties can lead to oscillatory solutions as well as nonhyperbolic moment systems. The Intrusive Polynomial Moment (IPM) method ensures hyperbolicity…

In this paper we extend the polynomial time integration framework to include exponential integration for both partitioned and unpartitioned initial value problems. We then demonstrate the utility of the exponential polynomial framework by…

The inflated beta regression model is widely used for modeling continuous proportions with values at the boundaries. Maximum likelihood estimation for these models is well-known for its sensitivity to outliers, which can severely distort…