相关论文: Modelling the clustering of extreme events for sho…

Rare events refer to qualitatively unlikely events whose realization can nevertheless have important consequences. Typically, the prediction of the kinetics of these events relies on Arrhenius laws, with exponentially distributed waiting…

Being able to predict the occurrence of extreme returns is important in financial risk management. Using the distribution of recurrence intervals---the waiting time between consecutive extremes---we show that these extreme returns are…

The distribution of recurrence times or return intervals between extreme events is important to characterize and understand the behavior of physical systems and phenomena in many disciplines. It is well known that many physical processes in…

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…

The occurrence of extreme events like heavy precipitation or storms at a certain location often shows a clustering behaviour and is thus not described well by a Poisson process. We construct a general model for the inter-exceedance times in…

It is well known that the distribution of extreme values of strictly stationary sequences differ from those of independent and identically distributed sequences in that extremal clustering may occur. Here we consider non-stationary but…

Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…

The Extremal Index is a parameter that measures the intensity of clustering of rare events and is usually equal to the reciprocal of the mean of the limiting cluster size distribution. We show how to build dynamically generated stochastic…

The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…

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…

Extreme events can come either from point processes, when the size or energy of the events is above a certain threshold, or from time series, when the intensity of a signal surpasses a threshold value. We are particularly concerned by the…

The distribution of return intervals of extreme events is studied in time series characterized by finite-term correlations with non-exponential decay. Precisely, it has been analyzed the statistics of the return intervals of extreme values…

In a stationary ergodic process, clustering is defined as the tendency of events to appear in series of increased frequency separated by longer breaks. Such behavior, contradicting the theoretical "unbiased behavior" with exponential…

Extreme events such as earthquakes, floods, and power blackouts often display burst phenomena where multiple extreme events occur in quick succession or in bunches. This study examines bunching of extreme events on a complex network using a…

In this article there is no intention to repeat basic concepts about risk management, but we will try to define why often is usefull the time series analysis during the assessment of risks, and how is possible to compute a significative…

Extreme weather events epitomize high cost: to society through their physical impacts, and to computer servers that simulate them to assess risk and advance physical understanding. It costs hundreds of simulation years to sample a few…

Motivated by examples from extreme value theory we introduce the general notion of a cluster process as a limiting point process of returns of a certain event in a time series. We explore general invariance properties of cluster processes…

Rare events are events that are expected to occur infrequently, or more technically, those that have low probabilities (say, order of $10^{-3}$ or less) of occurring according to a probability model. In the context of uncertainty…

To account for volatile renewable energy supply, energy systems optimization problems require high temporal resolution. Many models use time-series clustering to find representative periods to reduce the amount of time-series input data and…

We consider stochastic processes arising from dynamical systems by evaluating an observable function along the orbits of the system. The novelty is that we will consider observables achieving a global maximum value (possible infinite) at…