Scientific article
OA Policy
English

Modeling extreme events: Univariate and multivariate data-driven approaches

Published inExtremes, vol. 28, no. 1, p. 75-99
Publication date2025-03
First online date2024-10-16
Abstract

This article summarizes the contribution of team genEVA to the EVA (2023) Conference Data Challenge. The challenge comprises four individual tasks, with two focused on univariate extremes and two related to multivariate extremes. In the first univariate assignment, we estimate a conditional extremal quantile using a quantile regression approach with neural networks. For the second, we develop a fine-tuning procedure for improved extremal quantile estimation with a given conservative loss function. In the first multivariate sub-challenge, we approximate the data-generating process with a copula model. In the remaining task, we use clustering to separate a high-dimensional problem into approximately independent components. Overall, competitive results were achieved for all challenges, and our approaches for the univariate tasks yielded the most accurate quantile estimates in the competition.

Keywords
  • EVA (2023) Conference Data Challenge
  • Extreme value theory
  • Extreme quantile regression
  • Extremal dependence
Citation (ISO format)
BURITICA BORDA, Gloria Patricia et al. Modeling extreme events: Univariate and multivariate data-driven approaches. In: Extremes, 2025, vol. 28, n° 1, p. 75–99. doi: 10.1007/s10687-024-00499-9
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Article (Published version)
accessLevelPublic
Identifiers
Additional URL for this publicationhttps://link.springer.com/10.1007/s10687-024-00499-9
Journal ISSN1386-1999
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199downloads

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