相关论文: Some comments on extreme value statistics

Extreme value statistics (EVS) concerns the study of the statistics of the maximum or the minimum of a set of random variables. This is an important problem for any time-series and has applications in climate, finance, sports, all the way…

An intriguing connection between extreme value statistics and traveling fronts has been found recently in a number of diverse problems. In this brief review we outline a few such problems and consider their various applications.

Although the fundamental probabilistic theory of extremes has been well developed, there are many practical considerations that must be addressed in application. The contribution of this thesis is four-fold. The first concerns the choice of…

This note presents a rather intuitive approach to extreme value theory. This approach was devised mostly for pedagogical reason.

Estimation of extreme conditional quantiles is often required for risk assessment of natural hazards in climate and geo-environmental sciences and for quantitative risk management in statistical finance, econometrics, and actuarial…

This study provides a summary of the theory which enables the analysis of extreme values, i.e., of measurements acquired from the observation of extraordinary/rare physical phenomena. The formalism is developed in a transparent way,…

Accelerators and detectors are expensive, both in terms of money and human effort. It is thus important to invest effort in performing a good statistical analysis of the data, in order to extract the best information from it. This series of…

Extreme value statistics (EVS) concerns the study of the statistics of the maximum or the minimum of a set of random variables. This is an important problem for any time-series and has applications in climate, finance, sports, all the way…

In recent years, computing has become an important part of the way we teach and learn physics. Teachers, both at high school and college levels, now use computational activities in many of their courses. Physics departments are offering…

Fluctuations of global additive quantities, like total energy or magnetization for instance, can in principle be described by statistics of sums of (possibly correlated) random variables. Yet, it turns out that extreme values (the largest…

This is a report of a course on modern physics designed and taught to undergraduate science and engineering students in the Spring of 2013. The course, meant for freshmen, attempts to integrate statistical mechanics into non-classical…

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 give a brief account of application of extreme value theory in dynamical systems by using perturbation techniques associated to the transfer operator. We will apply it to the baker's map and we will get a precise formula for the extremal…

These notes are based on lectures delivered by G. Schehr at the XVIth School on Fundamental Problems in Statistical Physics (FPSP), held in Oropa (Italy) from 30 June to 11 July 2025. After a brief introduction to extreme value statistics…

We give conditions to prove the existence of an Extremal Index for general stationary stochastic processes by detecting the presence of one or more underlying periodic phenomena. This theory, besides giving general useful tools to identify…

We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…

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.…

Statistical physics and dynamical systems theory are key tools to study high-impact geophysical events such as temperature extremes, cyclones, thunderstorms, geomagnetic storms and many more. Despite the intrinsic differences between these…

Our introductory classes in statistics and data science use too much mathematics. The key causal effect which our students want our classes to have is to improve their future performance and opportunities. The more professional their…