Extreme-Value Graphical Models With Multiple Covariates

• Main Authors: Yu, Hang, Dauwels, Justin, Jonathan, Philip
• Other Authors: School of Electrical and Electronic Engineering
• Format: Article
• Language: English
• Published: 2018
• Subjects: Covariates; Extreme Events Modeling
• Online Access: https://hdl.handle.net/10356/89366; http://hdl.handle.net/10220/44846
• Institution: Nanyang Technological University

To assess the risk of extreme events such as hurricanes, earthquakes, and floods, it is crucial to develop accurate extreme-value statistical models. Extreme events often display heterogeneity (i.e., nonstationarity), varying continuously with a number of covariates. Previous studies have suggested...