论文标题
一个动态极值模型，并在火山喷发预测中应用
A dynamic extreme value model with applications to volcanic eruption forecasting
论文作者
论文摘要
诸如自然和经济灾难之类的极端事件对社会产生了持久的影响，并激发了对数据的极端分析。尽管基于高斯分布的经典统计工具集中在平均行为上，并且在估计极端时可能导致持续的偏见，但极端价值理论（EVT）提供了数学基础，以准确表征极端。在本文中，我们调整了最近引入的动态极值模型，该模型从高频数据进行了预测的财务风险到自然危害预测的背景。我们使用Piton de la fournaise火山的案例研究证明了其广泛的适用性和灵活性。通过预测性能显示了使用EVT信息阈值识别和建模极端事件的值。
Extreme events such as natural and economic disasters leave lasting impacts on society and motivate the analysis of extremes from data. While classical statistical tools based on Gaussian distributions focus on average behaviour and can lead to persistent biases when estimating extremes, extreme value theory (EVT) provides the mathematical foundations to accurately characterise extremes. In this paper, we adapt a dynamic extreme value model recently introduced to forecast financial risk from high frequency data to the context of natural hazard forecasting. We demonstrate its wide applicability and flexibility using a case study of the Piton de la Fournaise volcano. The value of using EVT-informed thresholds to identify and model extreme events is shown through forecast performance.
