Showing stat.MEShow all
3 papers · 1 filter
stat.ME2026
Directional variograms for multivariate extremes
Manuel Hentschel, Frank Röttger, Johan Segers +1
Multivariate generalized Pareto distributions arise as limits of threshold exceedances and form a central model class for multivariate extremes. Existing inference methods based on…
stat.ME2025
A penalized least squares estimator for extreme-value mixture models
Anas Mourahib, Anna Kiriliouk, Johan Segers
Estimating the parameters of max-stable parametric models poses significant challenges, particularly when some parameters lie on the boundary of the parameter space. This situation…
stat.ME2024
Tail calibration of probabilistic forecasts
Sam Allen, Jonathan Koh, Johan Segers +1
Probabilistic forecasts comprehensively describe the uncertainty in the unknown future outcome, making them essential for decision making and risk management. While several methods…