scholarly journals Extreme Value Theory in Application to Delivery Delays

Entropy ◽  
2021 ◽  
Vol 23 (7) ◽  
pp. 788
Author(s):  
Marcin Fałdziński ◽  
Magdalena Osińska ◽  
Wojciech Zalewski
Keyword(s):  
Maximum Likelihood ◽  
Extreme Value Theory ◽  
Maximum Likelihood Method ◽  
Rare Events ◽  
Value Theory ◽  
Extreme Value ◽  
Small Sample ◽  
Generalized Extreme Value Distribution ◽  
Return Level ◽  
Likelihood Method

This paper uses the Extreme Value Theory (EVT) to model the rare events that appear as delivery delays in road transport. Transport delivery delays occur stochastically. Therefore, modeling such events should be done using appropriate tools due to the economic consequences of these extreme events. Additionally, we provide the estimates of the extremal index and the return level with the confidence interval to describe the clustering behavior of rare events in deliveries. The Generalized Extreme Value Distribution (GEV) parameters are estimated using the maximum likelihood method and the penalized maximum likelihood method for better small-sample properties. The findings demonstrate the advantages of EVT-based prediction and its readiness for application.

scholarly journals Application of Extreme Value Theory in Predicting Climate Change Induced Extreme Rainfall in Kenya

2019 ◽  
Vol 8 (4) ◽  
pp. 85
Author(s):  
Faithful C. Onwuegbuche ◽  
Alpha B. Kenyatta ◽  
Steeven B. Affognon ◽  
Exavery P. Enock ◽  
Mary O. Akinade
Keyword(s):  
Climate Change ◽  
Extreme Value Theory ◽  
Extreme Rainfall ◽  
Value Theory ◽  
Extreme Value ◽  
Generalized Extreme Value Distribution ◽  
Return Level ◽  
Return Periods ◽  
Optimal Model ◽  
Return Levels

Climate change has brought about unprecedented new weather patterns, one of which is changes in extreme rainfall. In Kenya, heavy rains and severe flash floods have left people dead and displaced hundreds from their settlements. In order to build a resilient society and achieve sustainable development, it is paramount that adequate inference about extreme rainfall be made. To this end, this research modelled and predicted extreme rainfall events in Kenya using Extreme Value Theory for rainfall data from 1901-2016. Maximum Likelihood Estimation was used to estimate the model parameters and block maxima approach was used to fit the Generalized Extreme Value Distribution (GEVD) while the Peak Over Threshold method was used to fit the Generalized Pareto Distribution (GPD). The Gumbel distribution was found to be the optimal model from the GEVD while the Exponential distribution gave the optimal model over the threshold value. Furthermore, prediction for the return periods of 10, 20, 50 and 100 years were made using the return level estimates and their corresponding confidence intervals were presented. It was found that increase in return periods leads to a corresponding increase in return levels. However, the GPD gave higher return levels for 10 and 20 years compared to GEVD. While, for higher return periods 50 and 100 years, the GEVD gave higher return levels compared to the GPD. Model diagnostics using probability, density, quantile and return level plots indicated that the models provided were a good fit for the data.

scholarly journals توزيعات بديلة لتقدير نموذج الجرعة– الاستجابة في التجارب الحياتية

2007 ◽  
Vol 13 (45) ◽  
pp. 256
Author(s):  
ظافر حسين رشيد ◽  
انتصار عريبي الدوري
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Method ◽  
Extreme Value ◽  
Likelihood Method ◽  
Probit Method

يتطرق البحث الى دراسة خمس توزيعات مختلفة وهي         Probit , Logistic, Arc sine , extreme value , One hit    لتقدير نموذج الجرعة – الاستجابة باستخدام طريقتي طريقة الإمكان الأعظم Maximum Likelihood Method  وطريقة وحدة الاحتمال Probit Method   من خلال تحديد أوزان مختلفة في كل توزيع وكذلك إيجاد كافة المؤشرات الخاصة بالنماذج الحياتية .

A note on the point processes of rare events

1996 ◽  
Vol 33 (03) ◽  
pp. 654-663 ◽  
Author(s):  
J. Hüsler ◽  
M. Schmidt
Keyword(s):  
Extreme Value Theory ◽  
Asymptotic Approximation ◽  
Point Processes ◽  
Rare Events ◽  
Random Sequence ◽  
Value Theory ◽  
Extreme Value ◽  
Triangular Array

We discuss the limits of point processes which are generated by a triangular array of rare events. Such point processes are motivated by the exceedances of a high boundary by a random sequence since exceedances are rare events in this case. This application relates the problem to extreme value theory from where the method is used to treat the asymptotic approximation of these point processes. The presented general approach extends, unifies and clarifies some of the various conditions used in the extreme value theory.

scholarly journals Risk Analysis of Gold Prices in Pakistan Using Extreme Value Theory

2021 ◽  
Vol 2021 ◽  
pp. 1-18
Author(s):  
Ghulam Raza Khan ◽  
Alanazi Talal Abdulrahman ◽  
Osama Alamri ◽  
Zahid Iqbal ◽  
Maqsood Ahmad
Keyword(s):  
Extreme Value Theory ◽  
Value At Risk ◽  
Risk Measures ◽  
Value Theory ◽  
Extreme Value ◽  
Return Level ◽  
Extreme Stress ◽  
Daily Data ◽  
Peak Over Threshold ◽  
The Impact

Extreme value theory (EVT) is useful for modeling the impact of crashes or situations of extreme stress on investor portfolios. EVT is mostly utilized in financial modeling, risk management, insurance, and hydrology. The price of gold fluctuates considerably over time, and this introduces a risk on its own. The goal of this study is to analyze the risk of gold investment by applying the EVT to historical daily data for extreme daily losses and gains in the price of gold. We used daily gold prices in the Pakistan Bullion Market from August 1, 2011 to July 30, 2021. This paper covers two methods such as Block Maxima (BM) and Peak Over Threshold (POT) modeling. The risk measures which are adopted in this paper are Value at Risk (VaR) and Expected Shortfall (ES). The point and interval estimates of VaR and ES are obtained by fitting the Generalized Pareto (GPA) distribution. Moreover, in this paper, return-level forecasting is also included for the next 5 and 10 years by analyzing the Generalized Extreme Value (GEV) distribution.

scholarly journals Has fire policy decreased the return period of the largest wildfire events in France? A Bayesian assessment based on extreme value theory

2018 ◽  
Vol 18 (10) ◽  
pp. 2641-2651 ◽  
Author(s):  
Guillaume Evin ◽  
Thomas Curt ◽  
Nicolas Eckert
Keyword(s):  
Return Period ◽  
Extreme Value Theory ◽  
Fire Suppression ◽  
Value Theory ◽  
Extreme Value ◽  
Ecological Impacts ◽  
Return Level ◽  
Burned Area ◽  
Return Periods ◽  
Fire Policy

Abstract. Very large wildfires have high human, economic, and ecological impacts so that robust evaluation of their return period is crucial. Preventing such events is a major objective of the new fire policy set up in France in 1994, which is oriented towards fast and massive fire suppression. Whereas this policy is probably efficient for reducing the mean burned area (BA), its effect on the largest fires is still unknown. In this study, we make use of statistical extreme value theory (EVT) to compute return periods of very large BAs in southern France, for two distinct periods (1973 to 1994 and 1995 to 2016) and for three pyroclimatic regions characterized by specific fire activities. Bayesian inference and related predictive simulations are used to fairly evaluate related uncertainties. Results demonstrate that the BA corresponding to a return period of 5 years has actually significantly decreased, but that this is not the case for large return periods (e.g., 50 years). For example, in the most fire-prone region, which includes Corsica and Provence, the median 5-year return level decreased from 5000 to 2400 ha, while the median 50-year return level decreased only from 17 800 to 12 500 ha. This finding is coherent with the recent occurrence of conflagrations of large and intense fires clearly far beyond the suppression capacity of firemen. These fires may belong to a new generation of fires promoted by long-term fuel accumulation, urbanization into the wildland, and ongoing climate change. These findings may help adapt the operational system of fire prevention and suppression to ongoing changes. Also, the proposed methodology may be useful for other case studies worldwide.

scholarly journals An algorithm for the assessment of several small rates

2012 ◽  
Vol 53 ◽  
Author(s):  
Leonidas Sakalauskas ◽  
Ingrida Vaičiulytė
Keyword(s):  
Maximum Likelihood ◽  
Bayesian Approach ◽  
Maximum Likelihood Method ◽  
Rare Events ◽  
Maximum Likelihood Estimates ◽  
Likelihood Method ◽  
Model Parameters ◽  
Unknown Parameters ◽  
Empirical Bayesian ◽  
Empirical Bayesian Approach

The present paper describes the empirical Bayesian approach applied in the estimation of several small rates. Modeling by empirical Bayesian approach the probabilities of several rare events, it is assumed that the frequencies of events follow to Poisson’s law with different parameters, which are correlated Gaussian random values. The unknown parameters are estimated by the maximum likelihood method computing the integrals appeared here by Hermite–Gauss quadratures. The equations derived that are satisfied by maximum likelihood estimates of model parameters.

scholarly journals Mapping snow depth return levels: smooth spatial modeling versus station interpolation

2010 ◽  
Vol 14 (12) ◽  
pp. 2527-2544 ◽  
Author(s):  
J. Blanchet ◽  
M. Lehning
Keyword(s):  
Snow Depth ◽  
Extreme Value Distribution ◽  
Value Theory ◽  
Extreme Value ◽  
Generalized Extreme Value Distribution ◽  
Return Level ◽  
Distribution Fitting ◽  
Regional Variability ◽  
Gev Distribution ◽  
Return Levels

Abstract. For adequate risk management in mountainous countries, hazard maps for extreme snow events are needed. This requires the computation of spatial estimates of return levels. In this article we use recent developments in extreme value theory and compare two main approaches for mapping snow depth return levels from in situ measurements. The first one is based on the spatial interpolation of pointwise extremal distributions (the so-called Generalized Extreme Value distribution, GEV henceforth) computed at station locations. The second one is new and based on the direct estimation of a spatially smooth GEV distribution with the joint use of all stations. We compare and validate the different approaches for modeling annual maximum snow depth measured at 100 sites in Switzerland during winters 1965–1966 to 2007–2008. The results show a better performance of the smooth GEV distribution fitting, in particular where the station network is sparser. Smooth return level maps can be computed from the fitted model without any further interpolation. Their regional variability can be revealed by removing the altitudinal dependent covariates in the model. We show how return levels and their regional variability are linked to the main climatological patterns of Switzerland.

scholarly journals Negative Binomial mixed models estimated with the maximum likelihood method can be used for longitudinal RNAseq data

2020 ◽  
Author(s):  
Roula Tsonaka ◽  
Pietro Spitali
Keyword(s):  
Maximum Likelihood ◽  
Mixed Models ◽  
Time Course ◽  
Maximum Likelihood Method ◽  
Negative Binomial ◽  
Medical Center ◽  
Assistant Professor ◽  
Small Sample ◽  
Likelihood Method ◽  
Rnaseq Data

Abstract Time-course RNAseq experiments, where tissues are repeatedly collected from the same subjects, e.g. humans or animals over time or under several different experimental conditions, are becoming more popular due to the reducing sequencing costs. Such designs offer the great potential to identify genes that change over time or progress differently in time across experimental groups. Modelling of the longitudinal gene expression in such time-course RNAseq data is complicated by the serial correlations, missing values due to subject dropout or sequencing errors, long follow up with potentially non-linear progression in time and low number of subjects. Negative Binomial mixed models can address all these issues. However, such models under the maximum likelihood (ML) approach are less popular for RNAseq data due to convergence issues (see, e.g. [1]). We argue in this paper that it is the use of an inaccurate numerical integration method in combination with the typically small sample sizes which causes such mixed models to fail for a great portion of tested genes. We show that when we use the accurate adaptive Gaussian quadrature approach to approximate the integrals over the random-effects terms, we can successfully estimate the model parameters with the maximum likelihood method. Moreover, we show that the boostrap method can be used to preserve the type I error rate in small sample settings. We evaluate empirically the small sample properties of the test statistics and compare with state-of-the-art approaches. The method is applied on a longitudinal mice experiment to study the dynamics in Duchenne Muscular Dystrophy. Contact:  [email protected] Roula Tsonaka is an assistant professor at the Medical Statistics, Department of Biomedical Data Sciences, Leiden University Medical Center. Her research focuses on statistical methods for longitudinal omics data. Pietro Spitali is an assistant professor at the Department of Human Genetics, Leiden University Medical Center. His research focuses on the identification of biomarkers for neuromuscular disorders.

scholarly journals Has fire policy decreased the return period of the largest wildfire events in France? A Bayesian assessment based on extreme value theory

2018 ◽  
Author(s):  
Guillaume Evin ◽  
Thomas Curt ◽  
Nicolas Eckert
Keyword(s):  
Return Period ◽  
Extreme Value Theory ◽  
Fire Suppression ◽  
Value Theory ◽  
Extreme Value ◽  
Ecological Impacts ◽  
Return Level ◽  
Burned Area ◽  
Return Periods ◽  
Fire Policy

Abstract. Very large wildfires have high human, economic and ecological impacts so that robust evaluation of their return period is crucial. Preventing such events is a major objective of the new fire policy set up in France in 1994, which is oriented towards fast and massive fire suppression. Whereas this policy is probably efficient for reducing the mean burned area (BA), its effect on the largest fires is still unknown. In this study, we make use of statistical Extreme Value Theory (EVT) to compute return periods of very large BA in southern France, for two distinct periods (1973 to 1994, and 1995 to 2016) and for three pyroclimatic regions characterized by specific fire activities. Bayesian inference and related predictive simulations are used to fairly evaluate related uncertainties. Results demonstrate that the BA corresponding to a return period of 5 years has actually significantly decreased, but that this is not the case for large return periods (e.g. 50 years). For example, in the most fire-prone region, which includes Corsica and Provence, the median 5-year return level decreased from 5,000 ha. to 2,400 ha., while the median 50-year return level decreased only from 17,800 ha. to 12,500 ha. This finding is coherent with the recent occurrence of conflagrations of large and intense fires clearly far beyond the suppression capacity of firemen. These fires may belong to a new generation of fires promoted by long-term fuel accumulation, urbanization into the wildland, and ongoing climate change. These findings may help adapting the operational system of fire prevention and suppression to ongoing changes. Also, the proposed methodology may be useful for other case studies worldwide.

scholarly journals Mapping snow depth return levels: smooth spatial modeling versus station interpolation

2010 ◽  
Vol 7 (4) ◽  
pp. 6129-6177 ◽  
Author(s):  
J. Blanchet ◽  
M. Lehning
Keyword(s):  
Snow Depth ◽  
Extreme Value Distribution ◽  
Value Theory ◽  
Extreme Value ◽  
Generalized Extreme Value Distribution ◽  
Return Level ◽  
Distribution Fitting ◽  
Regional Variability ◽  
Gev Distribution ◽  
Return Levels

Abstract. For adequate risk management in mountainous countries, hazard maps for extreme snow events are needed. This requires the computation of spatial estimates of return levels. In this article we use recent developments in extreme value theory and compare two main approaches for mapping snow depth return levels from in situ measurements. The first one is based on the spatial interpolation of pointwise extremal distributions (the so-called Generalized Extreme Value distribution, GEV henceforth) computed at station locations. The second one is new and based on the direct estimation of a spatially smooth GEV distribution with the joint use of all stations. We compare and validate the different approaches for modeling annual maximum snow depth measured at 100 sites in Switzerland during winters 1965–1966 to 2007–2008. The results show a better performance of the smooth GEV distribution fitting, in particular where the station network is sparser. Smooth return level maps can be computed from the fitted model without any further interpolation. Their regional variability can be revealed by removing the altitudinal dependent covariates in the model. We show how return levels and their regional variability are linked to the main climatological patterns of Switzerland.

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