相关论文: Wireless Channel Modeling Based on Extreme Value T…

This article extends the multivariate extreme value theory (MEVT) to discrete settings, focusing on the generalized Pareto distribution (GPD) as a foundational tool. The purpose of the study is to enhance the understanding of extreme…

The univariate generalized extreme value (GEV) distribution is the most commonly used tool for analyzing the properties of rare events. The ever greater utilization of Bayesian methods for extreme value analysis warrants detailed…

In a number of applications, particularly in financial and actuarial mathematics, it is of interest to characterize the tail distribution of a random variable $V$ satisfying the distributional equation $V\stackrel{\mathcal{D}}{=}f(V)$,…

The existence of large and extreme claims of a non-life insurance portfolio influences the ability of (re)insurers to estimate the reserve. The excess over-threshold method provides a way to capture and model the typical behaviour of…

Quantifying changes in the probability and magnitude of extreme flooding events is key to mitigating their impacts. While hydrodynamic data are inherently spatially dependent, traditional spatial models such as Gaussian processes are poorly…

Extreme Value Theory (EVT) is exploited to determine the global stability threshold $R_g$ of plane Couette flow --the flow of a viscous fluid in the space between two parallel plates-- whose laminar or turbulent behavior depends on the…

We propose a transformation capable of altering the tail properties of a distribution, motivated by extreme value theory, which can be used as a layer in a normalizing flow to approximate multivariate heavy tailed distributions. We apply…

It is important to understand to what extent, and in what perspectives, cyber attacks can be predicted. Despite its evident importance, this problem was not investigated until very recently, when we proposed using the innovative methodology…

In this short note, I comment on the research of Pisarenko et al. (2014) regarding the extreme value theory and statistics in case of earthquake magnitudes. The link between the generalized extreme value distribution (GEVD) as an asymptotic…

By introducing a weight function into the density power divergence, we develop a new class of robust and smooth estimators for the tail index of Pareto-type distributions, offering improved efficiency in the presence of outliers. These…

Diffusion models have emerged as powerful generative frameworks with widespread applications across machine learning and artificial intelligence systems. While current research has predominantly focused on linear diffusions, these…

Deep Learning is applied to energy markets to predict extreme loads observed in energy grids. Forecasting energy loads and prices is challenging due to sharp peaks and troughs that arise due to supply and demand fluctuations from intraday…

Ratios of central order statistics seem to be very useful for estimating the tail of the distributions and therefore, quantiles outside the range of the data. In 1995 Isabel Fraga Alves investigated the rate of convergence of three…

This paper considers a single-antenna wirelesspowered communication network (WPCN) over a flat-fading channel. We show that, by using our probabilistic harvestand-transmit (PHAT) strategy, which requires the knowledge of instantaneous full…

Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the tail dependence is characterized by the…

Many random phenomena, including life-testing and environmental data, show positive values and excess zeros, which pose modeling challenges. In life testing, immediate failures result in zero lifetimes, often due to defects or poor quality,…

In this paper, the problem of joint power and resource allocation (JPRA) for ultra-reliable low-latency communication (URLLC) in vehicular networks is studied. Therein, the network-wide power consumption of vehicular users (VUEs) is…

Accurate channel modeling plays a pivotal role in optimizing communication systems, and fitting field measurements to stochastic models is crucial for capturing the key propagation features and to map these to achievable system…

Extreme quantile regression provides estimates of conditional quantiles outside the range of the data. Classical quantile regression performs poorly in such cases since data in the tail region are too scarce. Extreme value theory is used…

Estimation of tail quantities, such as expected shortfall or Value at Risk, is a difficult problem. We show how the theory of nonlinear expectations, in particular the Data-robust expectation introduced in [5], can assist in the…