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math.ST2023
Robust and non asymptotic estimation of probability weighted moments with application to extreme value analysis
Anna Ben-Hamou, Philippe Naveau, Maud Thomas
In extreme value theory and other related risk analysis fields, probability weighted moments (PWM) have been frequently used to estimate the parameters of classical extreme value d…
math.ST2022★ 6 cited
Distributional regression and its evaluation with the CRPS: Bounds and convergence of the minimax risk
Romain Pic, Clément Dombry, Philippe Naveau +1
The theoretical advances on the properties of scoring rules over the past decades have broadened the use of scoring rules in probabilistic forecasting. In meteorological forecastin…