相关论文: Extreme event propagation using counterfactual the…

Models for extreme values are generally derived from limit results, which are meant to be good enough approximations when applied to finite samples. Depending on the speed of convergence of the process underlying the data, these…

Conformal prediction is a popular method to construct prediction intervals with marginal coverage guarantees from black-box machine learning models. In applications with potentially high-impact events, such as flooding or financial crises,…

Studying extreme events and how they evolve in a changing climate is one of the most important current scientific challenges. Starting from complex climate models, a key difficulty is to be able to run long enough simulations in order to…

In many studies multivariate event time data are generated from clusters having a possibly complex association pattern. Flexible models are needed to capture this dependence. Vine copulas serve this purpose. Inference methods for vine…

In many applied fields, the prediction of more severe events than those already recorded is crucial for safeguarding against potential future calamities. What-if analyses, which evaluate hypothetical scenarios up to the worst-case event,…

Having reliable estimates of the occurrence rates of extreme events is highly important for insurance companies, government agencies and the general public. The rarity of an extreme event is typically expressed through its return period,…

Conventional methods for extreme event estimation rely on well-chosen parametric models asymptotically justified from extreme value theory (EVT). These methods, while powerful and theoretically grounded, could however encounter a difficult…

We consider regularly varying random vectors. Our goal is to estimate in a non-parametric way some characteristics related to conditioning on an extreme event, like the tail dependence coefficient. We introduce a quasi-spectral…

In most risk assessment studies, it is important to accurately capture the entire distribution of the multivariate random vector of interest from low to high values. For example, in climate sciences, low precipitation events may lead to…

We show that all multivariate Extreme Value distributions, which are the possible weak limits of the $K$ largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through…

The probabilistic characterization of the relationship between two or more random variables calls for a notion of dependence. Dependence modeling leads to mathematical and statistical challenges, and recent developments in extremal…

Extreme events are emergent phenomena in multi-particle transport processes on complex networks. In practice, such events could range from power blackouts to call drops in cellular networks to traffic congestion on roads. All the earlier…

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…

As part of global climate change an accelerated hydrologic cycle (including an increase in heavy precipitation) is anticipated. So, it is of great importance to be able to quantify high-impact hydrologic relationships, for example, the…

Fully describing the entire data set is essential in multivariate risk assessment, since moderate levels of one variable can influence another, potentially leading it to be extreme. Additionally, modelling both non-extreme and extreme…

The use of expectiles in risk management has recently gathered remarkable momentum due to their excellent axiomatic and probabilistic properties. In particular, the class of elicitable law-invariant coherent risk measures only consists of…

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 coarse spatial resolution of gridded climate models, such as general circulation models, limits their direct use in projecting socially relevant variables like extreme precipitation. Most downscaling methods estimate the conditional…

Extreme events have an important role which is sometime catastrophic in a variety of natural phenomena including climate, earthquakes and turbulence, as well as in man-made environments like financial markets. Statistical analysis and…

We consider the estimation of small probabilities or other risk quantities associated with rare but catastrophic events. In the model-based literature, much of the focus has been devoted to efficient Monte Carlo computation or analytical…