7 citations · 16 across the 8 of their papers we have counts for
7 papers · 1 filter
Modelling non-stationary extremal dependence through a geometric approach
C. J. R. Murphy-Barltrop, J. L. Wadsworth, M. de Carvalho +1
Non-stationary extremal dependence, whereby the relationship between the extremes of multiple variables evolves over time, is commonly observed in many environmental and financial…
Uncovering Regions of Maximum Dissimilarity on Random Process Data
Miguel de Carvalho, Gabriel Martos Venturini
The comparison of local characteristics of two random processes can shed light on periods of time or space at which the processes differ the most. This paper proposes a method that…
Tracking change-points in multivariate extremes
Miguel de Carvalho, Manuele Leonelli, Alex Rossi
In this paper we devise a statistical method for tracking and modeling change-points on the dependence structure of multivariate extremes. The methods are motivated by and illustra…
Modeling Interval Trendlines: Symbolic Singular Spectrum Analysis for Interval Time Series
Miguel de Carvalho, Gabriel Martos
In this article we propose an extension of singular spectrum analysis for interval-valued time series. The proposed methods can be used to decompose and forecast the dynamics gover…
An Extreme Value Bayesian Lasso for the Conditional Left and Right Tails
Miguel de Carvalho, Soraia Pereira, Paula Pereira +1
We introduce a novel regression model for the conditional left and right tail of a possibly heavy-tailed response. The proposed model can be used to learn the effect of covariates…
Robust and flexible inference for the covariate-specific ROC curve
Vanda Inacio, Vanda M. Lourenco, Miguel de Carvalho +2
Diagnostic tests are of critical importance in health care and medical research. Motivated by the impact that atypical and outlying test outcomes might have on the assessment of th…