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美国强雷暴环境的时空极值AI 解读

Severe thunderstorms cause substantial economic and human losses in the United States. Simultaneoushigh values of convective available potential energy (CAPE) and storm relative helicity (SRH) are favorable tosevere weather, and both they and the composite variable PROD = √CAPE × SRH can be used as indicatorsof severe thunderstorm activity. Their extremal spatial dependence exhibits temporal non-stationarity dueto seasonality and large-scale atmospheric signals such as El…

重尾时间序列中基于期望分位数的尾部风险推断AI 解读

Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but further results are needed to establish that extreme expectiles can be applied with the kind of dependent time series models relevant to finance. In this article we provide a basis for inference on extreme expectiles and expectile-based…

函数型数据的超阈值极值分析AI 解读

Abstract Peaks-over-threshold analysis using the generalised Pareto distribution is widely applied in modelling tails of univariate random variables, but much information may be lost when complex extreme events are studied using univariate results. In this paper, we extend peaks-over-threshold analysis to extremes of functional data. Threshold exceedances defined using a functional r are modelled by the generalised r-Pareto process, a functional generalisation of the…

利用鞍点近似进行 INAR(p) 模型的似然估计AI 解读

Xanthi Pedeli, Anthony C. Davison & Konstantinos FokianosXanthi Pedeli, Department of Statistics, Athens University of Economics & Business, 10434 Athens, Greece (E-mail: ). Anthony C. Davison, École Polytechnique Fédérale de Lausanne, EPFL-FSB-MATHAA-STAT, Station 8, 1015 Lausanne, Switzerland (E-mail: ). Konstantinos Fokianos, Department of Mathematics & Statistics, University of Cyprus, 1678 Nicosia, Cyprus (E-mail: ). X. Pedeli and K. Fokianos are supported by the…

多元极值的谱密度比模型AI 解读

The modeling of multivariate extremes has received increasing recent attention because of its importance in risk assessment. In classical statistics of extremes, the joint distribution of two or more extremes has a nonparametric form, subject to moment constraints. This article develops a semiparametric model for the situation where several multivariate extremal distributions are linked through the action of a covariate on an unspecified baseline distribution, through a…

重抽样方法中的鞍点近似AI 解读

Saddlepoint approximations are shown to be easy to use and accurate in a variety of simple bootstrap and randomization applications. Examples include mean estimation, ratio estimation, two-sample comparisons, and autoregressive estimation.

重抽样方法中的鞍点近似AI 解读

Saddlepoint approximations are shown to be easy to use and accurate in a variety of simple bootstrap and randomization applications. Examples include mean estimation, ratio estimation, two-sample comparisons, and autoregressive estimation.