3 papers
math.ST2025
Learning extremal graphical structures in high dimensions
Sebastian Engelke, Michaël Lalancette, Stanislav Volgushev
Extremal graphical models encode the conditional independence structure of multivariate extremes. Key statistics for learning extremal graphical structures are empirical extremal v…
stat.ME2024
Neural Networks for Extreme Quantile Regression with an Application to Forecasting of Flood Risk
Olivier C. Pasche, Sebastian Engelke
Risk assessment for extreme events requires accurate estimation of high quantiles that go beyond the range of historical observations. When the risk depends on the values of observ…
math.ST2024
Graphical models for infinite measures with applications to extremes
Sebastian Engelke, Jevgenijs Ivanovs, Kirstin Strokorb
Conditional independence and graphical models are well studied for probability distributions on product spaces. We propose a new notion of conditional independence for any measure…