Thursday
Thursday's programme at EVA 2021
All times are BST (UTC +1)
| Thursday | Parallel Session 1 | Parallel Session 2 | Parallel Session 3 |
|---|---|---|---|
| 10.00-11.15 | IS Extremes of energy systems Organizer/chair: Neves, C. |
CS Flood risk Chair: Fougères, A.-L. |
CS Causal inference Chair: Klüppelberg, C. |
| Browell, J. Probabilistic forecasting of regional net-load with conditional extremes |
D'Arcy, E. Extreme sea level estimation: accounting for seasonality |
Buck, J. Properties and Consistency of QTree in Max-Linear Models Under Observational Noise |
|
| Brayshaw, D. Weather and climate risk in power systems with renewables |
Rohrbeck, C. Simulating flood event sets using extremal principal components |
Zeder, J. The value of regularisation and model robustness in the context of climate extremes |
|
| Li, Y. The use of extreme value theory for forecasting long-term substation maximum electricity demand |
Mubarrok, S. Annual maximum precipitation in Indonesia linked to climate variability: extreme value analysis |
Bodík, J. Detection of causality in time series using extreme values |
|
| Legrand, J. Evaluation of binary classifiers for extremes |
Ji, J. Autoregressive conditional accelerated Fréchet model for decoupling systemic risk into endogenous and exogenous competing risks |
| 11.15-11.30 Break |
| Thursday | Parallel Session 1 | Parallel Session 2 | Parallel Session 3 |
|---|---|---|---|
| 11.30-13.00 | IS Time series Organizer/chair: Bücher, A. |
CS Prediction and validation for extremes Organizer/chair: Dombry, C. |
CS Insurance Chair: Einmahl, J. |
| Drees, H. Bootstrap for block-based extreme value statistics |
Modeste, T. Scoring and validation of dynamic probability forecast |
Guillou, A. Extreme value estimation of the conditional risk premium in reinsurance |
|
| Wintenberger, O. Threshold selection for cluster inference based on large deviation principles |
Henzi, A. Valid sequential inference on probability forecast performance |
Behme, A. A 2 × 2 random switching model and its dual risk model |
|
| Oesting, M. Long range dependence in the tails |
Bobbia, B. Estimation of extreme conditional quantiles with coupling method |
Žugec, P. On maximal claim size for marked Hawkes processes |
|
| Baeriswyl, F. Multivariate regular variation in marked Hawkes processes |
Ho, N. A Weissman-type estimator of the conditional marginal expected shortfall |
| 13.00-16.00 Social and networking |
| Thursday | Parallel Session 1 | Parallel Session 2 | Parallel Session 3 | Parallel Session 4 |
|---|---|---|---|---|
| 16.00-17.15 | IS Long memory processes and non-standard EVT Organizer/chair: Owada, T. |
IS Inferential issues Organizer/chair: Wadsworth, J. L. |
IS Sparsity in high-dimensional extremes Organizer/chair: Ivanovs, J. |
CS Spatial Extremes (II) Chair: Prosdocimi, I. |
| Bai, S. New representations of Hermite processes |
Belzile, L. Informative selection mechanisms for extreme value analyses |
Volgushev, S. Tree structure learning for extremes |
Zhang, Z. Modelling Spatial Extremes Using Normal Mean-Variance Mixtures |
|
| Hirsch, C. Extremal lifetimes of persistent loops and holes |
Risser, M. Detecting changes in daily precipitation extremes over the contiguous United States |
Fomichov, V. Spherical clustering in detection of groups of concomitant extremes |
Chautru, E. Continuous simulation of storm processes |
|
| Thomas, A. M. Functional strong laws of large numbers for Euler characteristic processes of extreme sample clouds |
Aulbach, S. Exceedance probability estimation: some experience on bias correction and confidence intervals |
Meyer, N. Multivariate sparse clustering for extremes |
Demangeot, M. Estimation of the extremal coefficient function based on a single observation |
|
| Szemkus, S. Extremal dependence as given by the tail pairwise dependence matrix in precipitation and temperature data |
| 17.15-17.30 Break |
| Thursday | Parallel Session 1 | Parallel Session 2 | Parallel Session 3 |
|---|---|---|---|
| 17.30-18.45 | IS Forecasting, metrics, evaluations and scoring of extremes Organizer/chair: Ziegel, J. |
CS Dependence modelling Chair: Nolan, J. |
CS Regression techniques (II) Chair: Girard, S. |
| Dombry, C. Gradient boosting for extreme quantile regression |
Tao, S. On modelling tail dependence via t-copula |
Kumukova, A. Regression-type analysis for block maxima on block maxima |
|
| Brehmer, J. Using scoring functions to evaluate point process forecasts |
Kadhem, S. H. Bi-factor and second-order copula models for item response data |
Gheno, G. A new link function for frequentist beta regression |
|
| Fougères A.-L. Scoring probabilistic forecasts with a focus on extremes |
Simpson, E. A geometric investigation into the tail dependence of vine copulas |
Lee, J. Transformed-linear combination of regularly varying random variables and linear prediction for extremes |
|
| Tendijck, S. Modelling the extremes of bivariate mixture distributions with application to oceanographic data |
Alabdulathem, A. Tail index regression-adjusted functional covariate |