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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…
stat.ML2023
A VAE Approach to Sample Multivariate Extremes
Nicolas Lafon, Philippe Naveau, Ronan Fablet
Generating accurate extremes from an observational data set is crucial when seeking to estimate risks associated with the occurrence of future extremes which could be larger than t…