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Extreme Value Theory and Value at Risk: Application to OPEC Market [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2019 Regarding the role of the energy market, especially oil, on the economy of countries, it is important to identify the future evolution of the market. In this respect, predicting the changeable extreme evolution of the oil price is crucial for decision ...
mahtab mehrasa, Teymour Mohamadi
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Biases in Estimating Long‐Term Recurrence Intervals of Extreme Events Due To Regionalized Sampling
Geophysical Research Letters, 2023 Preparing for environmental risks requires estimating the frequencies of extreme events, often from data records that are too short to confirm them directly. This requires fitting a statistical distribution to the data.
Moutassem El Rafei +4 more
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Agglomerative Clustering with Threshold Optimization via Extreme Value Theory
Algorithms, 2022 Clustering is a critical part of many tasks and, in most applications, the number of clusters in the data are unknown and must be estimated. This paper presents an Extreme Value Theory-based approach to threshold selection for clustering, proving that ...
Chunchun Li +6 more
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Bridge Damage Detection Using Complexity Pursuit and Extreme Value Theory
Buildings, 2023 Bridge structures are susceptible to environmental and operational variations (EOVs). Improperly handling these influences may result in incorrect assessments of the bridge’s health condition.
Xun Liu, Weidong Zhuo, Jie Yang
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Extreme events in total ozone over Arosa – Part 1: Application of extreme value theory [PDF]
Atmospheric Chemistry and Physics, 2010 In this study ideas from extreme value theory are for the first time applied in the field of stratospheric ozone research, because statistical analysis showed that previously used concepts assuming a Gaussian distribution (e.g. fixed deviations from mean
H. E. Rieder +8 more
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, 2019 AbstractFrom travel disruptions to natural disasters, extreme events have long captured the public’s imagination and attention. Due to their rarity and often associated calamity, they make waves in the news (Fig. 3.1) and stir discussion in the public realm: is it a freak event? Events of this sort may be shrouded in mystery for the general public, but
Maria Jacob +2 more
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Weibull-Open-World (WOW) Multi-Type Novelty Detection in CartPole3D
Algorithms, 2022 Algorithms for automated novelty detection and management are of growing interest but must address the inherent uncertainty from variations in non-novel environments while detecting the changes from the novelty.
Terrance E. Boult +4 more
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Portfolio Optimization for Extreme Risks with Maximum Diversification: An Empirical Analysis
Risks, 2022 Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions.
Navya Jayesh Mehta, Fan Yang
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Testing Conditions and Estimating Parameters in Extreme Value Theory
Revstat Statistical Journal, 2019 Extreme Value Theory has been asserting itself as one of the most important statistical theories for the applied sciences providing a solid theoretical basis for deriving statistical models describing extreme or even rare events.
Helena Penalva +3 more
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Analysis of Extreme Wind Pressure Based on Extreme Value Distribution Theory
AtmosphereWhen extreme wind pressure is predicted based on the extreme value distribution theory, the sampling time–distance and sample volume of wind pressure data are important influencing factors. To discuss and analyze the influence of time–distance and sample
Weihu Chen, Yuji Tian, Fan Bai
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