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Accurate Bayesian inference for tail risk extrapolation in time series
David L. Carl, Simone A. Padoan, Stefano Rizzelli
Accurately quantifying tail risks-rare but high-impact events such as financial crashes or extreme weather-is a central challenge in risk management, with serially dependent data.…
Statistical Prediction of Peaks Over a Threshold
Simone A. Padoan, Stefano Rizzelli
In many applied fields, the prediction of more severe events than those already recorded is crucial for safeguarding against potential future calamities. What-if analyses, which ev…
Statistical Prediction of Peaks Over a Threshold
S. A. Padoan, Stefano Rizzelli
In many applied fields it is desired to make predictions with the aim of assessing the plausibility of more severe events than those already recorded to safeguard against calamitie…
Empirical Bayes inference for the block maxima method
Simone A Padoan, Stefano Rizzelli
The block maxima method is one of the most popular approaches for extreme value analysis with independent and identically distributed observations in the domain of attraction of an…