Year: 2026
Type: article
Abstract: From environmental sciences to finance, there is a growing demand for methods that can assess the risks of extreme events beyond those observed in available data. Extrapolating extreme events beyond the range of the data is not obvious. Risk assessments are often further complicated by the need to account for multiple variables simultaneously. Extreme value theory provides important tools for the analysis of multivariate or spatial extreme events, but these are not easily accessible to professionals without appropriate expertise. This article provides a minimal background on multivariate and spatial extremes and gives simple yet thorough instructions on how to analyse them using the package ExtremalDep . After briefly introducing the statistical methodologies, we focus on road testing the package’s toolbox through several real-world applications.
Source: Extremes
Authors: Boris Béranger, Simone A. Padoan
Institutions: UNSW Sydney, Bocconi University
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $2,290
OpenAlex ID: W4405626191