3 papers
stat.ML2026
Simulation of Multivariate Extremes: a Wasserstein-Aitchison GAN approach
Stéphane Lhaut, Holger Rootzén, Johan Segers
Economically responsible mitigation of multivariate extreme risks-such as extreme rainfall over large areas, large simultaneous variations in many stock prices, or widespread break…
stat.ME2024
Fast and robust cross-validation-based scoring rule inference for spatial statistics
Helga Kristin Olafsdottir, Holger Rootzén, David Bolin
Scoring rules are aimed at evaluation of the quality of predictions, but can also be used for estimation of parameters in statistical models. We propose estimating parameters of mu…
stat.ME2024
Locally tail-scale invariant scoring rules for evaluation of extreme value forecasts
Helga Kristin Olafsdottir, Holger Rootzén, David Bolin
Statistical analysis of extremes can be used to predict the probability of future extreme events, such as large rainfalls or devastating windstorms. The quality of these forecasts…