Modeling Extreme Events: Univariate and Multivariate Data-Driven Approaches

Gloria Buriticá, Manuel Hentschel, Olivier C. Pasche (Corresponding author), Frank Röttger, Zhongwei Zhang

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Samenvatting

This article summarizes the contribution of team genEVA to the EVA (2023) Conference Data Challenge. The challenge comprises four individual tasks, with two focused on univariate extremes and two related to multivariate extremes. In the first univariate assignment, we estimate a conditional extremal quantile using a quantile regression approach with neural networks. For the second, we develop a fine-tuning procedure for improved extremal quantile estimation with a given conservative loss function. In the first multivariate sub-challenge, we approximate the data-generating process with a copula model. In the remaining task, we use clustering to separate a high-dimensional problem into approximately independent components. Overall, competitive results were achieved for all challenges, and our approaches for the univariate tasks yielded the most accurate quantile estimates in the competition.
Originele taal-2Engels
Pagina's (van-tot)75-99
Aantal pagina's25
TijdschriftExtremes
Volume28
Nummer van het tijdschrift1
Vroegere onlinedatum16 okt. 2024
DOI's
StatusGepubliceerd - mrt. 2025
Evenement13th International Conference on Extreme Value Analysis - Bocconi University, Milan, Italië
Duur: 26 jun. 202330 jun. 2023
Congresnummer: 13

Financiering

Open access funding provided by University of Geneva. Authors were supported by Swiss National Science Foundation Eccellenza Grant 186858.

Trefwoorden

  • stat.ME
  • stat.AP

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