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stat.ME2025
GPDFlow: Generative Multivariate Threshold Exceedance Modeling via Normalizing Flows
Chenglei Hu, Daniela Castro-Camilo
The multivariate generalized Pareto distribution (mGPD) is a common method for modeling extreme threshold exceedance probabilities in environmental and financial risk management. D…
stat.ME2024
A Bayesian multivariate extreme value mixture model
Chenglei Hu, Ben Swallow, Daniela Castro-Camilo
Impact assessment of natural hazards requires the consideration of both extreme and non-extreme events. Extensive research has been conducted on the joint modeling of bulk and tail…