TXtreme: transformer-based extreme value prediction framework for time series forecasting by Hemant Yadav, Amit Thakkar

Subjects: “…Extreme value theory…”
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Estimating 𝐿-Functionals for Heavy-Tailed Distributions and Application by Abdelhakim Necir, Djamel Meraghni

“…In this paper we propose, by means of extreme value theory, alternative estimators for 𝐿-functionals and establish their asymptotic normality. …”
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Stochastic Periodic Solution and Persistence of a Nonautonomous Impulsive System with Nonlinear Self-Interaction by Weili Kong, Yuanfu Shao

“…Firstly, by use of extreme-value theory of quadratic function and constructing suitable functional, we study the existence of periodic Markovian process. …”
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A New Statistical Method for Maximum Power Estimation in CMOS VLSI Circuits by N. E. Evmorfopoulos, J. N. Avaritsiotis

“…The method is based on extreme value theory and allows for the calculation of the upper end point of the probability distribution which is followed by the instantaneous power drawn from the supply bus. …”
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Tail Risk in the Chinese Vegetable Oil Market: Based on the EGAS-EVT Model by Yueqiang Zhang, Guanghui Han, Hui Xie, Zixing Wang

“…This paper uses extreme value theory and exponential generalised autoregressive score models to estimate the tail extremes of financial return series. …”
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On the Reusage of Primary Radio Resources through the Exploitation of the Spatiotemporal Robustness of the MIMO Transmissions by G. A. Medina-Acosta, José A. Delgado-Penín

“…The proposed model makes use of the smallest singular values and the Extreme Value Theory for characterizing the robustness of the MIMO systems, having always the premise of preventing significant degradations in the performance of the primary communications, while at the same time an attractive number of potential opportunities for secondary are intended to be offered. …”
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The Probability of the May 2024 Geomagnetic Superstorm by S. Elvidge, D. R. Themens

“…The widespread visibility of auroras at unusually low latitudes attracted global media attention. Using extreme value theory (EVT), this study estimates the return periods for the May 2024 storm based on several geomagnetic indices. …”
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Data-driven upper bounds and event attribution for unprecedented heatwaves by Mark D. Risser, Likun Zhang, Michael F. Wehner

“…In the aftermath of these devastating events, there is interest in identifying worst-case thresholds or upper bounds that quantify just how hot temperatures can become. Generalized Extreme Value theory provides a data-driven estimate of extreme thresholds; however, upper bounds may be exceeded by future events, which undermines attribution and planning for heatwave impacts. …”
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Prediction of High-ozone Events Using GAM, SMOTE, and Tail Dependence Approaches in Texas (2005–2019) by Benjamin Brown-Steiner, Xiong Zhou, Matthew J. Alvarado, Brook T. Russell

“…Abstract We test three methods for ozone prediction in the El Paso (ELP) and Houston-Galveston-Brazoria (HGB) regions of Texas from 2005–2019: (1) a Generalized Additive Model (GAMs) approach; (2) a GAM approach with the addition of the Synthetic Minority Over-sampling TEchnique (SMOTE) and (3) a tail dependence modeling approach based in extreme value theory (EVT). We also compare the feature selection capabilities of the tail dependence approach to other feature selection methods. …”
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Expected annual minima from an idealized moving-average drought index by J. H. Stagge, K. Sung, K. Sung, I. F. Munyejuru, M. A. I. Haidar

“…The resulting distribution of annual minima follows a generalized normal distribution rather than the generalized extreme-value (GEV) distribution, as would be expected from extreme-value theory. From a more applied perspective, this study provides the expected annual return periods for the SPI or related drought indices with common accumulation periods (moving-window length), ranging from 1 to 24 months. …”
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Comparison of VaR Models to the Brazilian Stock Market Under the Hypothesis of Serial Independence in Higher Orders: Are Garch Models Really Indispensable? by Luiz Augusto Finger França Maluf, Jéssica Tamy Asano

“…Our objective in this article was to verify which models for the Value at Risk (VaR), among those that do not consider conditional volatility (Extreme Values Theory and the traditional Historical Simulation), and those that do consider it (GARCH and IGARCH), are adequate for the main index of the Brazilian stock market, the IBOVESPA. …”
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