Extreme value methods for estimating rare events in Utopia: EVA (2023) conference data challenge: team Lancopula Utopiversity

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Beitragende

Abstract

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 Utopiversity team to tackle the EVA (2023) Conference Data Challenge. This data challenge was split into four challenges, labelled C1-C4. Challenges C1 and C2 comprise univariate problems, where the goal is to estimate extreme quantiles for a non-stationary time series exhibiting several complex features. For these, we propose a flexible modelling technique, based on generalised additive models, with diagnostics indicating generally good performance for the observed data. Challenges C3 and C4 concern multivariate problems where the focus is on estimating joint probabilities. For challenge C3, we propose an extension of available models in the multivariate literature and use this framework to estimate joint probabilities in the presence of non-stationary dependence. Finally, for challenge C4, which concerns a 50-dimensional random vector, we employ a clustering technique to achieve dimension reduction and use a conditional modelling approach to estimate extremal probabilities across independent groups of variables.

Details

OriginalspracheEnglisch
Aufsatznummer108025
Seiten (von - bis)23–45
Seitenumfang23
FachzeitschriftExtremes : statistical theory and applications in science, engineering and economics
Jahrgang28
Ausgabenummer1
Frühes Online-Datum22 Nov. 2024
PublikationsstatusVeröffentlicht - März 2025
Peer-Review-StatusJa

Externe IDs

unpaywall 10.1007/s10687-024-00498-w
Scopus 85209992489
PubMed 40242571

Schlagworte

Schlagwörter

  • 62G32, Extremal dependence, Generalised additive modelling, Non-stationary extremes, Peaks-over-threshold modelling