Scoring predictions at extreme quantiles

Autor: Axel Gandy, Kaushik Jana, Almut E. D. Veraart

Publikováno v: AStA Advances in Statistical Analysis. 106:527-544

Prediction of quantiles at extreme tails is of interest in numerous applications. Extreme value modelling provides various competing predictors for this point prediction problem. A common method of assessment of a set of competing predictors is to ev

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::367c4a6894ef8cfee1a62fead3a16525
https://doi.org/10.1007/s10182-021-00421-9

Likelihood theory for the Graph Ornstein-Uhlenbeck process

Autor: Valentin Courgeau, Almut E. D. Veraart

We consider the problem of modelling restricted interactions between continuously-observed time series as given by a known static graph (or network) structure. For this purpose, we define a parametric multivariate Graph Ornstein-Uhlenbeck (GrOU) proc

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0aa4b8cfd1295c0fcf6926fc4897e3e3
http://hdl.handle.net/10044/1/91465

Limit theorems for trawl processes

Autor: Orimar Sauri, Riccardo Passeggeri, Almut E. D. Veraart, Mikko S. Pakkanen

Publikováno v: Pakkanen, M S, Passeggeri, R, Sauri, O & Veraart, A E D 2021, ' Limit theorems for trawl processes ', Electronic Journal of Probability, vol. 26, 116 . https://doi.org/10.1214/21-EJP652

In this work we derive limit theorems for trawl processes. First,we study the asymptotic behaviour of the partial sums of the discretized trawl process $(X_{i\Delta_{n}})_{i=0}^{\lfloor nt\rfloor-1}$, under the assumption that as $n\uparrow\infty$, $

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2bf31b973b8010e7a31ebaaef289c14a
http://hdl.handle.net/10044/1/90110

Introduction: the mathematics of energy systems

Autor: John Moriarty, Andy Philpott, Almut E. D. Veraart, Bert Zwart, Pierluigi Mancarella, Stan Zachary

Publikováno v: Philosophical Transactions of the Royal Society A, 379(2202)

The urgent need to decarbonize energy systems gives rise to many challenging areas of interdisciplinary research, bringing together mathematicians, physicists, engineers and economists. Renewable generation, especially wind and solar, is inherently h

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::afdcaeb0a5394ee755780006b0abc874
https://doi.org/10.1098/rsta.2019.0425

On the class of distributions of subordinated Lévy processes and bases

Autor: Almut E. D. Veraart, Orimar Sauri

Publikováno v: Orimar, S A & Veraart, A E D 2017, ' On the class of distributions of subordinated Lévy processes and bases ', Stochastic Processes and Their Applications, vol. 127, no. 2, pp. 475-496 . https://doi.org/10.1016/j.spa.2016.06.015
Sauri, O & Veraart, A 2017, ' On the class of distributions of subordinated Lévy processes and bases ', Stochastic Processes and Their Applications, vol. 127, no. 2, pp. 475-496 . https://doi.org/10.1016/j.spa.2016.06.015

This article studies the class of distributions obtained by subordinating Lévy processes and Lévy bases by independent subordinators and meta-times. To do this we derive properties of a suitable mapping obtained via Lévy mixing. We show that our r

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::32bf3d920c00c30ec6d6923055774857
https://doi.org/10.1016/j.spa.2016.06.015