2 papers
stat.ME2026
Assessing Extrapolation of Peaks Over Thresholds with Martingale Testing
Joseph de Vilmarest, Olivier Wintenberger
We present the winning strategy for the EVA2025 Data Challenge, which aimed to estimate the probability of extreme precipitation events. These events occurred at most once in the d…
stat.ME2025
Sliding-Window Signatures for Time Series: Application to Electricity Demand Forecasting
Nina Drobac, Margaux Brégère, Joseph de Vilmarest +1
Nonlinear and delayed effects of covariates often render time series forecasting challenging. To this end, we propose a novel forecasting framework based on ridge regression with s…