10th Extreme Value Analysis Conference TU Delft ⎯ June 26-30, 2017
Thursday, June 29
Invited Session I7: High dimensions, extremes, dimension reduction (9:00-10:55, Room: Boole, Organizer/Chair: Anne-Laure Fougeres) • 9:00-9:35 Daniel Cooley, Principal component decomposition and completely positive decomposition of dependence for multivariate extremes • 9:40-10:15 Claudia Klüppelberg, Can we identify a max-linear model on a DAG by the tail dependence coefficient matrix? • 10:20-10:55 Philippe Naveau, A Bayesian error-in-variable framework to study extremes in a detection and attribution context Invited Session I8: High-dimensional extremes and applications (9:00-10:55, Room: Chip, Organizer/Chair: Anthony Davison) • 9:00-9:35 Emeric Thibaud, Exploration and inference in spatial extremes using empirical basis functions • 9:40-10:15 Sebastian Engelke & Raphaël de Fondeville, Extremal behavior of aggregated data with an application to downscaling • 10:20-10:55 Raphaël Huser, Bridging asymptotic independence and dependence in spatial extremes using Gaussian scale mixtures Invited Session I9: Heavy-tailed time series (9:00-10:55, Room: Pi, Organizer/Chair: Clément Dombry) • 9:00-9:35 Anja Janßen, Spectral tail processes of stationary regularly varying multivariate time series • 9:40-10:15 Philippe Soulier, The tail process revisited • 10:20-10:55 Olivier Wintenberger, Heavy tails for an alternative stochastic perpetuity model Coffee Break (11:00-11:30) Contributed Session C29: Bias correction (11:30-12:25, Room: Boole, Chair: M. Ivette Gomes) • 11:30-11:55 Jan Beirlant, Bias reduced tail modelling and modelling a full data set • 12:00-12:25 Claudio Semadeni, Bias-reduced inference for spectral distributions Contributed Session C30: Multivariate statistics (non-parametric) (11:30-12:25, Room: Chip, Chair: Johan Segers) • 11:30-11:55 Armelle Guillou, Local estimation of the conditional stable tail dependence function • 12:00-12:25 Mikael Escobar-Bach,Local robust estimation of the Pickands dependence function Contributed Session C31: Chi-square processes (11:30-12:25, Room: Data, Chair: Michel Broniatowski) • 11:30-11:55 Long Bai, Extremes of Gaussian chaos processes with trend • 12:00-12:25 Lanpeng Ji,Extremes of locally stationary chi-square processes with trend Contributed Session C32: Rainfall simulation (11:30-12:25, Room: Pi, Chair: Ferdinand Diermanse) • 11:30-11:55 Nina Kargapolova, Stochastic simulation of joint fields of daily precipitation and river flow • 12:00-12:25 Kate Saunders,An Australia wide model for rainfall extremes Lunch (12:30-14:00) Discussion: Theory, including statistical theory (14:00-15:25, Room: Boole, Moderator: Thomas Mikosch)
Contributed Session C33: Finance (14:00-15:25, Room: Chip, Chair: Casper de Vries) • 14:00-14:25 Debbie J. Dupuis, Realizing the extremes: estimation of tail-risk measures from a high-frequency perspective • 14:30-14:55 Marcel Bräutigam & Marie Kratz,Procyclicality of empirical measurements of risk in financial markets • 15:00-15:25 Xiaolei Xie, Tail indices and scale parameters in financial time series Contributed Session C34: Non-stationarity (14:00-15:25, Room: Data, Chair: Bikramjit Das) • 14:00-14:25 Yousra El-Bachir, Functional location, scale and shape parameters of extremal distributions • 14:30-14:55 Philip Müller,Extreme events in a changing world • 15:00-15:25 Elena Zanini, Semi-parametric models for non-stationary environmental extremes Contributed Session C35: Climate (14:00-15:25, Room: Pi, Chair: Sofia Caires) • 14:00-14:25 Murendeni Nemukula, Modelling average minimum daily temperature using extreme value theory with a time varying threshold • 14:30-14:55 Alec Stephenson,Towards an early warning system for high-impact coastal events in Pacific island nations • 15:00-15:25 Ben Timmermans, Parameter uncertainty in attribution studies for extreme weather events Coffee Break (15:30-16:00) Discussion: Applications, including some statistical theory (16:00-17:25, Room: Boole, Moderator: Philippe Naveau, Jan Beirlant and Jonathan Tawn)
Contributed Session C36: Tail (in)dependence (16:00-17:25, Room: Chip, Chair: Marco Oesting) • 16:00-16:25 Guus Balkema, Hidden regular variation and limit shape • 16:30-16:55 Cécile Mercadier,Testing asymptotic independence • 17:00-17:25 Emma Simpson, Determining the dependence structure of multivariate extremes Contributed Session C37: Max-stable processes (16:00-17:25, Room: Data, Chair: Philippe Soulier) • 16:00-16:25 Bojan Basrak, On stationary regularly varying random fields • 16:30-16:55 Martin Dirrler,Conditionally max-stable random fields • 17:00-17:25 Mathieu Vrac, Spatial hybrid downscaling: from large-scale information to high-resolution extreme precipitation fields (CANCELLED) Contributed Session C38: Quantiles and tail probabilities (16:00-17:25, Room: Pi, Chair: Debbie J. Dupuis) • 16:00-16:25 Raúl Torres, High level directional multivariate quantile estimation • 16:30-16:55 Cees de Valk,Estimation of very small probabilities of extreme events: ideas and applications • 17:00-17:25 Jasper Velthoen, Extreme quantile estimation for the forecast distribution Conference Dinner at De Schaapskooi (18:30-22:30)