scholarly journals Topics in data analysis using R in extreme value theory

2013 ◽  
Vol 10 (1) ◽  
Author(s):  
Helena Penalva ◽  
Manuela Neves
Keyword(s):  
Applied Sciences ◽  
Data Analysis ◽  
Open Source Software ◽  
Extreme Value Theory ◽  
Extreme Values ◽  
Value Theory ◽  
Extreme Value ◽  
Extreme Value Statistics ◽  
Data Sets ◽  
Statistics Of Extremes

The statistical Extreme Value Theory has grown gradually from the beginning of the 20th century. Its unquestionable importance in applications was definitely recognized after Gumbel's book in 1958, Statistics of Extremes. Nowadays there is a wide number of applied sciences where extreme value statistics are largely used. So, accurately modeling extreme events has become more and more important and the analysis requires tools that must be simple to use but also should consider complex statistical models in order to produce valid inferences. To deal with accurate, friendly, free and open-source software is of great value for practitioners and researchers. This paper presents a review of the main steps for initializing a data analysis of extreme values in R environment. Some well documented packages are briefly described and two data sets will be considered for illustrating the use of some functions.

scholarly journals Multivariate Extreme Value Theory - A Tutorial with Applications to Hydrology and Meteorology

2014 ◽  
Vol 2 (1) ◽  
Author(s):  
Anne Dutfoy ◽  
Sylvie Parey ◽  
Nicolas Roche
Keyword(s):  
Extreme Value Theory ◽  
High Speed ◽  
Value Theory ◽  
Extreme Value ◽  
Asymptotic Independence ◽  
Data Sets ◽  
Overhead Lines ◽  
Multivariate Extreme Value Theory ◽  
Air Temperatures ◽  
Multivariate Extreme Value

AbstractIn this paper, we provide a tutorial on multivariate extreme value methods which allows to estimate the risk associated with rare events occurring jointly. We draw particular attention to issues related to extremal dependence and we insist on the asymptotic independence feature. We apply the multivariate extreme value theory on two data sets related to hydrology and meteorology: first, the joint flooding of two rivers, which puts at risk the facilities lying downstream the confluence; then the joint occurrence of high speed wind and low air temperatures, which might affect overhead lines.

Frequentist and Bayesian extreme value analysis on the wildfire events in Greece

2020 ◽  
Author(s):  
Nikos Koutsias ◽  
Frank A. Coutelieris
Keyword(s):  
Extreme Value Theory ◽  
Extreme Values ◽  
Value Theory ◽  
Extreme Value ◽  
Extreme Value Analysis ◽  
Burned Area ◽  
Accurate Assessment ◽  
Peaks Over Threshold ◽  
Bayesian Approaches ◽  
Value Analysis

<p>A statistical analysis on the wildfire events, that have taken place in Greece during the period 1985-2007, for the assessment of the extremes has been performed. The total burned area of each fire was considered here as a key variable to express the significance of a given event. The data have been analyzed through the extreme value theory, which has been in general proved a powerful tool for the accurate assessment of the return period of extreme events. Both frequentist and Bayesian approaches have been used for comparison and evaluation purposes. Precisely, the Generalized Extreme Value (GEV) distribution along with Peaks over Threshold (POT) have been compared with the Bayesian Extreme Value modelling. Furthermore, the correlation of the burned area with the potential extreme values for other key parameters (e.g. wind, temperature, humidity, etc.) has been also investigated.</p>

Extreme values of non-stationary random sequences

1986 ◽  
Vol 23 (04) ◽  
pp. 937-950 ◽  
Author(s):  
Jürg Hüsler
Keyword(s):  
Extreme Value Theory ◽  
Extreme Values ◽  
Value Theory ◽  
Extreme Value ◽  
Extremal Index ◽  
Stationary Case ◽  
Random Sequences ◽  
Similar Role ◽  
High Level

We extend some results of the extreme-value theory of stationary random sequences to non-stationary random sequences. The extremal index, defined in the stationary case, plays a similar role in the extended case. The details show that this index describes not only the behaviour of exceedances above a high level but also above a non-constant high boundary.

scholarly journals Extreme Value Theory and Large Fire Losses

1974 ◽  
Vol 7 (3) ◽  
pp. 293-310 ◽  
Author(s):  
G. Ramachandran
Keyword(s):  
Statistical Theory ◽  
Extreme Value Theory ◽  
Extreme Values ◽  
Value Theory ◽  
Extreme Value ◽  
Large Fire ◽  
Fire Insurance ◽  
Reinsurance Treaty

The statistical theory of extreme values well described by Gumbel [1] has been fruitfully applied in many fields, but only in recent times has it been suggested in connection with fire insurance problems. The idea originally stemmed from a consideration of the ECOMOR reinsurance treaty proposed by Thepaut [2]. Thereafter, a few papers appeared investigating the usefulness of the theory in the calculation of an excess of loss premium. Among these, Beard [3, 4], d'Hooge [5] and Jung [6] have made contributions which are worth studying. They have considered, however, only the largest claims during a succession of periods. In this paper, generalized techniques are presented which enable use to be made of all large losses that are available for analysis and not merely the largest. These methods would be particularly useful in situations where data are available only for large losses.

scholarly journals An Application of Extreme Value Theory to Learning Analytics: Predicting Collaboration Outcome from Eye-tracking Data

2017 ◽  
Vol 4 (3) ◽  
Author(s):  
Kshitij Sharma ◽  
Valérie Chavez-Demoulin ◽  
Pierre Dillenbourg
Keyword(s):  
Eye Tracking ◽  
Extreme Value Theory ◽  
Extreme Values ◽  
Value Theory ◽  
Extreme Value ◽  
Collaborative Problem Solving ◽  
Tracking Data ◽  
Previous Approach ◽  
The Mean

The statistics used in education research are based on central trends such as the mean or standard deviation, discarding outliers. This paper adopts another viewpoint that has emerged in Statistics, called the Extreme Value Theory (EVT). EVT claims that the bulk of the normal distribution is mostly comprised of uninteresting variations while the most extreme values convey more information. We applied EVT to eye-tracking data collected during online collaborative problem solving with the aim of predicting the quality of collaboration. We compare our previous approach, based on central trends, with an EVT approach focused on extreme episodes of collaboration. The latter occurred to provide a better prediction of the quality of collaboration.

scholarly journals Maximum Values of Frozen Soil’s Depth and Hoar Frost’s Thickness Estimated on the Basis of Extreme Values Theory

2018 ◽  
Vol 12 (2) ◽  
pp. 13-23
Author(s):  
Maria Nedealcov ◽  
Valentin Răileanu ◽  
Gheorghe Croitoru ◽  
Cojocari Rodica ◽  
Crivova Olga
Keyword(s):  
Risk Factors ◽  
Extreme Value Theory ◽  
Extreme Values ◽  
Gumbel Distribution ◽  
Value Theory ◽  
Extreme Value ◽  
Frozen Soil ◽  
Return Interval ◽  
The Mean ◽  
Extreme Values Theory

Abstract Extreme climatic phenomena present risk factors for agriculture, health, constructions, etc. and are studied profoundly these past years using extreme value theory. Several relation that describe positive extreme values’ probability Generalized Extreme Value and Gumbel distribution are presented in the article. As a example, we show the maps of characteristic and reference values of the maximum depth of the frozen soil and thickness of hoar-frost with a probability of exceeding per year equal to 0,02, which is equivalent to the mean return interval of 50 years. The obtained results could serve as a base for elaboration of national annexes in constructions.

Extreme values of non-stationary random sequences

1986 ◽  
Vol 23 (04) ◽  
pp. 937-950 ◽  
Author(s):  
Jürg Hüsler
Keyword(s):  
Extreme Value Theory ◽  
Extreme Values ◽  
Value Theory ◽  
Extreme Value ◽  
Extremal Index ◽  
Stationary Case ◽  
Random Sequences ◽  
Similar Role ◽  
High Level

We extend some results of the extreme-value theory of stationary random sequences to non-stationary random sequences. The extremal index, defined in the stationary case, plays a similar role in the extended case. The details show that this index describes not only the behaviour of exceedances above a high level but also above a non-constant high boundary.

Extreme values of non-stationary random sequences

1986 ◽  
Vol 23 (4) ◽  
pp. 937-950 ◽  
Author(s):  
Jürg Hüsler
Keyword(s):  
Extreme Value Theory ◽  
Extreme Values ◽  
Value Theory ◽  
Extreme Value ◽  
Extremal Index ◽  
Stationary Case ◽  
Random Sequences ◽  
Similar Role ◽  
High Level

We extend some results of the extreme-value theory of stationary random sequences to non-stationary random sequences. The extremal index, defined in the stationary case, plays a similar role in the extended case. The details show that this index describes not only the behaviour of exceedances above a high level but also above a non-constant high boundary.

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