Introduces a penalized least squares estimator with pseudo-norm penalization for parametric extreme-value mixture models and a data-driven algorithm to identify extreme directions.
Extremes of structural causal models
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A survey of recent methods that apply extreme value theory to enable extrapolation in statistical learning and machine learning.
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A penalized least squares estimator for extreme-value mixture models
Introduces a penalized least squares estimator with pseudo-norm penalization for parametric extreme-value mixture models and a data-driven algorithm to identify extreme directions.
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Extrapolation in Statistical Learning with Extreme Value Theory
A survey of recent methods that apply extreme value theory to enable extrapolation in statistical learning and machine learning.