Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes [PDF]
Journal of Applied Statistics, 2016 ABSTRACTThis paper develops Bayesian inference of extreme value models with a flexible time-dependent latent structure. The generalized extreme value distribution is utilized to incorporate state variables that follow an autoregressive moving average (ARMA) process with Gumbel-distributed innovations.
Jouchi Nakajima +2 more
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GENERALIZED EXTREME VALUE DISTRIBUTION PARAMETERS AS DYNAMICAL INDICATORS OF STABILITY [PDF]
International Journal of Bifurcation and Chaos, 2012 We introduce a new dynamical indicator of stability based on the Extreme Value statistics showing that it provides an insight into the local stability properties of dynamical systems. The indicator performs faster than others based on the iteration of the tangent map since it requires only the evolution of the original systems and, in the chaotic ...
Faranda, Davide +3 more
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Fast parameter estimation of generalized extreme value distribution using neural networks [PDF]
Environmetrics, 2023 AbstractThe heavy‐tailed behavior of the generalized extreme‐value distribution makes it a popular choice for modeling extreme events such as floods, droughts, heatwaves, wildfires and so forth. However, estimating the distribution's parameters using conventional maximum likelihood methods can be computationally intensive, even for moderate‐sized ...
Sweta Rai +5 more
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Estimasi Value-at-Risk Dengan Pendekatan Extreme Value Theory-Generalized Pareto Distribution (STUDI KASUS IHSG 1997-2004) [PDF]
, 2006 Dalam paper ini, akan diperkenalkan suatu metode dalam perhitungan VaR yaitu VaR-GPD. Kelebihan metode ini adalah pendekatannya bahwa data mengikuti distribusi GPD (Generalized Pareto Distribution) yang mengakomodasi bentuk distribusi empiris data yang ...
Effendie, A. R. (Adhitya) +1 more
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evgam: An R Package for Generalized Additive Extreme Value Models
Journal of Statistical Software, 2022 This article introduces the R package evgam. The package provides functions for fitting extreme value distributions. These include the generalized extreme value and generalized Pareto distributions.
Benjamin D. Youngman
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Reliability of Extreme Wind Speeds Predicted by Extreme-Value Analysis
Meteorology, 2023 The reliability of extreme wind speed predictions at large mean recurrence intervals (MRI) is assessed by bootstrapping samples from representative known distributions.
Nicholas John Cook
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Prediction of extreme rainfall with a generalized extreme value distribution [PDF]
Journal of the Korean Data and Information Science Society, 2013 Extreme rainfall causes heavy losses in human life and properties. Hence many works have been done to predict extreme rainfall by using extreme value distributions. In this study, we use a generalized extreme value distribution to derive the posterior predictive density with hierarchical Bayesian approach based on the data of Seoul area from 1973 to ...
Yong Kyu Sung, Joong K. Sohn
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The Topp-Leone generalized extreme value distribution: Extreme value analysis and return level estimation of the PM2.5 in Chiang Mai, Thailand [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2022 In this paper, an extension of the generalized extreme value (GEV) distribution called the Topp Leone-GEV (TL-GEV) distribution is applied. The TL-GEV distribution has four parameters (λ, μ, σ, ξ), and it has the three named sub-models TLGumbel (for ξ =
Sirinapa Aryuyuen, Winai Bodhisuwan
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Smooth tail index estimation [PDF]
, 2007 Both parametric distribution functions appearing in extreme value theory - the generalized extreme value distribution and the generalized Pareto distribution - have log-concave densities if the extreme value index gamma is in [-1,0].
Balabdaoui F. +10 more
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A mixture transmuted generalized extreme value distribution: Definition and properties [PDF]
EPJ Web of ConferencesExtreme events are often described using generalized extreme value models, which are crucial for quantifying their impact. In prior studies, researchers have utilized the quadratic rank transmutation map to construct a comprehensive family of probability
Yang Yu, Sun HongGuang, Xu Zheng
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