Extreme value methods for estimating rare events in Utopia: EVA (2023) conference data challenge: team Lancopula Utopiversity [0.03%]
乌托邦极端值方法估计罕见事件：EVA（2023）会议数据挑战：Lancopula U托大学团队
Lídia Maria André,Ryan Campbell,Eleanor D&#x;Arcy et al.
Lídia Maria André et al.
To capture the extremal behaviour of complex environmental phenomena in practice, flexible techniques for modelling tail behaviour are required. In this paper, we introduce a variety of such methods, which were used by the Lancopula Utopive...
Probability of entering an orthant by correlated fractional Brownian motion with drift: exact asymptotics [0.03%]
相关带漂移分数布朗运动进入象限的概率：精确渐近性分析
Krzysztof Dȩbicki,Lanpeng Ji,Svyatoslav Novikov
Krzysztof Dȩbicki
For { B H ( t ) = ( B H , 1 ( t ) , … , B H , d ( t ) ) ⊤ , t ≥ 0 } , where { B H , i ( t ) , t ≥ 0 } , 1 ≤ i ≤ d are mutually independent fractional Brownian motions, we obtain the exact asymptotics...
Correlation of powers of Hüsler-Reiss vectors and Brown-Resnick fields, and application to insured wind losses [0.03%]
Hüsler-Reiss向量和Brown-Resnick场的幂的相关性以及在风损保险中的应用
Erwan Koch
Erwan Koch
Hüsler-Reiss vectors and Brown-Resnick fields are popular models in multivariate and spatial extreme-value theory, respectively, and are widely used in applications. We provide analytical formulas for the correlation between powers of the ...
Causal modelling of heavy-tailed variables and confounders with application to river flow [0.03%]
应用于河流流量的厚尾变量和混淆变量的因果模型分析
Olivier C Pasche,Valérie Chavez-Demoulin,Anthony C Davison
Olivier C Pasche
Confounding variables are a recurrent challenge for causal discovery and inference. In many situations, complex causal mechanisms only manifest themselves in extreme events, or take simpler forms in the extremes. Stimulated by data on extre...
Gradient boosting with extreme-value theory for wildfire prediction [0.03%]
基于梯度提升和极值理论的 wildfires 预测模型
Jonathan Koh
Jonathan Koh
This paper details the approach of the team Kohrrelation in the 2021 Extreme Value Analysis data challenge, dealing with the prediction of wildfire counts and sizes over the contiguous US. Our approach uses ideas from extreme-value theory i...
Asymptotic behavior of an intrinsic rank-based estimator of the Pickands dependence function constructed from B-splines [0.03%]
基于B样条构造的Pickands相依函数的内在秩估计的渐近性质
Axel Bücher,Christian Genest,Richard A Lockhart et al.
Axel Bücher et al.
A bivariate extreme-value copula is characterized by its Pickands dependence function, i.e., a convex function defined on the unit interval satisfying boundary conditions. This paper investigates the large-sample behavior of a nonparametric...
Miguel de Carvalho,Alina Kumukova,Gonçalo Dos Reis
Miguel de Carvalho
This paper devises a regression-type model for the situation where both the response and covariates are extreme. The proposed approach is designed for the setting where the response and covariates are modeled as multivariate extreme values,...
Martin Bladt,Jorge Yslas
Martin Bladt
A phase-type distribution is the distribution of the time until absorption in a finite state-space time-homogeneous Markov jump process, with one absorbing state and the rest being transient. These distributions are mathematically tractable...
Krzysztof Dȩbicki,Enkelejd Hashorva,Nikolai Kriukov
Krzysztof Dȩbicki
Modelling of multiple simultaneous failures in insurance, finance and other areas of applied probability is important especially from the point of view of pandemic-type events. A benchmark limiting model for the analysis of multiple failure...
Martin Bladt,Hansjörg Albrecher,Jan Beirlant
Martin Bladt
We consider removing lower order statistics from the classical Hill estimator in extreme value statistics, and compensating for it by rescaling the remaining terms. Trajectories of these trimmed statistics as a function of the extent of tri...