2 papers
stat.ME2026
Non-Parametric Simulation of Multivariate Extreme Events via Spectral Bootstrap
Nisrine Madhar, Juliette Legrand, Maud Thomas
Inference in extreme value theory relies on a limited number of extreme observations, making estimation challenging. To address this limitation, we propose a non-parametric simulat…
stat.ME2024
Assessing Extreme Risk using Stochastic Simulation of Extremes
Nisrine Madhar, Juliette Legrand, Maud Thomas
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data…