相关论文: Detecting breaks in the dependence of multivariate…

In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies with determining which subsets of variables can take…

Tests for break points detection in the law of random vectors have been proposed in several papers. Nevertheless, they have often little powers for alternatives involving a change in the dependence between components of vectors. Specific…

We establish a theory for multivariate extreme value analysis of dynamical systems. Namely, we provide conditions adapted to the dynamical setting which enable the study of dependence between extreme values of the components of…

Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional…

We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints,…

The problem of detecting variance breaks in the case of smooth time-varying variance structure is studied. It is highlighted that the tests based on (piecewise) constant specification of the variance are not able to distinguish between…

This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the…

The analysis of seasonal or annual block maxima is of interest in fields such as hydrology, climatology or meteorology. In connection with the celebrated method of block maxima, we study several tests that can be used to assess whether the…

Testing whether two multivariate samples exhibit the same extremal behavior is an important problem in various fields including environmental and climate sciences. While several ad-hoc approaches exist in the literature, they often lack…

In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…

Extreme value analysis is an essential methodology in the study of rare and extreme events, which hold significant interest in various fields, particularly in the context of environmental sciences. Models that employ the exceedances of…

Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-developed, methods for high-dimensional and complex data sets…

We analyze the extreme value dependence of independent, not necessarily identically distributed multivariate regularly varying random vectors. More specifically, we propose estimators of the spectral measure locally at some time point and…

Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these…

Classical and more recent tests for detecting distributional changes in multivariate time series often lack power against alternatives that involve changes in the cross-sectional dependence structure. To be able to detect such changes…

From environmental sciences to finance, there is a growing demand for methods that can assess the risks of extreme events beyond those observed in available data. Extrapolating extreme events beyond the range of the data is not obvious.…

An overview of existing nonparametric tests of extreme-value dependence is presented. Given an i.i.d.\ sample of random vectors from a continuous distribution, such tests aim at assessing whether the underlying unknown copula is of the {\em…

In this paper we devise a statistical method for tracking and modeling change-points on the dependence structure of multivariate extremes. The methods are motivated by and illustrated on a case study on crypto-assets.

There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…

Estimating the strength of dependency between two variables is fundamental for exploratory analysis and many other applications in data mining. For example: non-linear dependencies between two continuous variables can be explored with the…