8 papers
Dimension Reduction in Multivariate Extremes via Latent Linear Factor Models
Alexis Boulin, Axel Bücher
We propose a new and interpretable class of high-dimensional tail dependence models based on latent linear factor structures. Specifically, extremal dependence of an observable vec…
Extrapolating into the Extremes with Minimum Distance Estimation
Alexis Boulin, Erik Haufs
Understanding complex dependencies and extrapolating beyond observations are key challenges in modeling environmental space-time extremes. To address this, we introduce a simplifyi…
Structured linear factor models for tail dependence
Alexis Boulin, Axel Bücher
A common object to describe the extremal dependence of a -variate random vector is the stable tail dependence function . Various parametric models have emerged, with a po…
Estimating Max-Stable Random Vectors with Discrete Spectral Measure using Model-Based Clustering
Alexis Boulin
This study introduces a novel estimation method for the entries and structure of a matrix in the linear factor model . This is applied to…
Identifying regions of concomitant compound precipitation and wind speed extremes over Europe
Alexis Boulin, Elena Di Bernardino, Thomas Laloë +1
The task of simplifying the complex spatio-temporal variables associated with climate modeling is of utmost importance and comes with significant challenges. In this research, our…
High-dimensional variable clustering based on maxima of a weakly dependent random process
Alexis Boulin, Elena Di Bernardino, Thomas Laloë +1
We propose a new class of models for variable clustering called Asymptotic Independent block (AI-block) models, which defines population-level clusters based on the independence of…
A Python Package for Sampling from Copulae: clayton
Alexis Boulin
The package \textsf{clayton} is designed to be intuitive, user-friendly, and efficient. It offers a wide range of copula models, including Archimedean, Elliptical, and Extreme. The…
Non-parametric estimator of a multivariate madogram for missing-data and extreme value framework
Alexis Boulin, Elena Di Bernardino, Thomas Laloë +1
The modeling of dependence between maxima is an important subject in several applications in risk analysis. To this aim, the extreme value copula function, characterised via the ma…