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stat.ME2026
A sub-asymptotic model for bivariate threshold exceedances
Mirco Lescart, Anna Kiriliouk, Philippe Naveau
Extreme value theory offers a statistical framework for quantifying the risk of rare events, with the generalized Pareto (GP) distribution providing the canonical limit model for u…
stat.ME2024★ 10 cited
Proper Scoring Rules for Multivariate Probabilistic Forecasts based on Aggregation and Transformation
Romain Pic, Clément Dombry, Philippe Naveau +1
Proper scoring rules are an essential tool to assess the predictive performance of probabilistic forecasts. However, propriety alone does not ensure an informative characterization…