3 papers
math.ST2026
On the optimal prediction of extreme events
Benjamin Bobbia, Stilian Stoev
The prediction of the extremely large values of a response variable in terms of a vector of covariates is a fundamental problem arising in many scientific and…
math.ST2020
Extreme quantile regression in a proportional tail framework
Benjamin Bobbia, Clément Dombry, Davit Varron
We revisit the model of heteroscedastic extremes initially introduced by Einmahl et al. (JRSSB, 2016) to describe the evolution of a non stationary sequence whose extremes evolve o…
math.ST2019
The coupling method in extreme value theory
Benjamin Bobbia, Clément Dombry, Davit Varron
A coupling method is developed for univariate extreme value theory , providing an alternative to the use of the tail empirical/quantile processes. Emphasizing the Peak-over-Thresho…