EVA 2017

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)

© EVA 2017 Delft