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M. Lovric

Bio: M. Lovric is an academic researcher. The author has an hindex of 1, co-authored 1 publications receiving 675 citations.

Papers
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01 Jan 2011
TL;DR: This article reviews multivariate theory, distinguishing asymptotic independence and dependence models, followed by a description of models for spatial and spatiotemporal extreme events, and discusses inference and describe two applications.
Abstract: Statistics of extremes concerns inference for rare events. Often the events have never yet been observed, and their probabilities must therefore be estimated by extrapolation of tail models fitted to available data. Because data concerning the event of interest may be very limited, efficient methods of inference play an important role. This article reviews this domain, emphasizing current research topics. We first sketch the classical theory of extremes for maxima and threshold exceedances of stationary series. We then review multivariate theory, distinguishing asymptotic independence and dependence models, followed by a description of models for spatial and spatiotemporal extreme events. Finally, we discuss inference and describe two applications. Animations illustrate some of the main ideas.

836 citations


Cited by
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01 Apr 2013
TL;DR: In this paper, the authors investigated the presence of trends in annual maximum daily precipitation time series obtained from a global dataset of 8326 high-quality land-based observing stations with more than 30 years of record over the period from 1900 to 2009.
Abstract: This study investigates the presence of trends in annual maximum daily precipitation time series obtained from a global dataset of 8326 high-quality land-based observing stations with more than 30 years of record over the period from 1900 to 2009. Two complementary statistical techniques were adopted to evaluate the possible nonstationary behavior of these precipitation data. The first was a Mann‐Kendall nonparametric trend test, and it was used to evaluate the existence of monotonic trends. The second was a nonstationary generalized extreme value analysis, and it was used to determine the strength of association between the precipitation extremes and globally averaged near-surface temperature. The outcomes are that statistically significant increasing trends can be detected at the global scale, with close to two-thirds of stations showing increases. Furthermore, there is a statistically significant association with globally averaged near-surface temperature,withthemedianintensityofextremeprecipitationchanginginproportionwithchangesinglobal mean temperature at a rate of between 5.9% and 7.7%K 21 , depending on the method of analysis. This ratio was robust irrespective of record length or time period considered and was not strongly biased by the uneven global coverage of precipitation data. Finally, there is a distinct meridional variation, with the greatest sensitivity occurring in the tropics and higher latitudes and the minima around 138S and 118N. The greatest uncertainty was near the equator because of the limited number of sufficiently long precipitation records, and there remains an urgent need to improve data collection in this region to better constrain future changes in tropical precipitation.

615 citations

Journal ArticleDOI
TL;DR: In this paper, the main types of statistical models based on latent variables, on copulas and on spatial max-stable processes are described and compared by application to a data set on rainfall in Switzerland.
Abstract: The areal modeling of the extremes of a natural process such as rainfall or temperature is important in environmental statistics; for example, understanding extreme areal rainfall is crucial in flood protection. This article reviews recent progress in the statistical modeling of spatial extremes, starting with sketches of the necessary elements of extreme value statistics and geostatistics. The main types of statistical models thus far proposed, based on latent variables, on copulas and on spatial max-stable processes, are described and then are compared by application to a data set on rainfall in Switzerland. Whereas latent variable modeling allows a better fit to marginal distributions, it fits the joint distributions of extremes poorly, so appropriately-chosen copula or max-stable models seem essential for successful spatial modeling of extremes.

572 citations

Journal ArticleDOI
TL;DR: In this paper, the authors consider stochastic processes under resetting, which have attracted a lot of attention in recent years, and discuss multiparticle systems as well as extended systems, such as fluctuating interfaces.
Abstract: In this Topical Review we consider stochastic processes under resetting, which have attracted a lot of attention in recent years. We begin with the simple example of a diffusive particle whose position is reset randomly in time with a constant rate r, which corresponds to Poissonian resetting, to some fixed point (e.g. its initial position). This simple system already exhibits the main features of interest induced by resetting: (i) the system reaches a nontrivial nonequilibrium stationary state (ii) the mean time for the particle to reach a target is finite and has a minimum, optimal, value as a function of the resetting rate r. We then generalise to an arbitrary stochastic process (e.g. Levy flights or fractional Brownian motion) and non-Poissonian resetting (e.g. power-law waiting time distribution for intervals between resetting events). We go on to discuss multiparticle systems as well as extended systems, such as fluctuating interfaces, under resetting. We also consider resetting with memory which implies resetting the process to some randomly selected previous time. Finally we give an overview of recent developments and applications in the field. PACS numbers: 05.40.-a, 05.70.Fh, 02.50.Ey, 64.60.-i arXiv:1910.07993v2 [cond-mat.stat-mech]

361 citations

Journal ArticleDOI
TL;DR: In this article, the authors analyzed the annual maximum daily rainfall of 15,137 records from all over the world, with lengths varying from 40 to 163 years, and analyzed the fitting results focusing on the behavior of the shape parameter.
Abstract: [1] Theoretically, if the distribution of daily rainfall is known or justifiably assumed, then one could argue, based on extreme value theory, that the distribution of the annual maxima of daily rainfall would resemble one of the three limiting types: (a) type I, known as Gumbel; (b) type II, known as Frechet; and (c) type III, known as reversed Weibull. Yet, the parent distribution usually is not known and often only records of annual maxima are available. Thus, the question that naturally arises is which one of the three types better describes the annual maxima of daily rainfall. The question is of great importance as the naive adoption of a particular type may lead to serious underestimation or overestimation of the return period assigned to specific rainfall amounts. To answer this question, we analyze the annual maximum daily rainfall of 15,137 records from all over the world, with lengths varying from 40 to 163 years. We fit the generalized extreme value (GEV) distribution, which comprises the three limiting types as special cases for specific values of its shape parameter, and analyze the fitting results focusing on the behavior of the shape parameter. The analysis reveals that (a) the record length strongly affects the estimate of the GEV shape parameter and long records are needed for reliable estimates; (b) when the effect of the record length is corrected, the shape parameter varies in a narrow range; (c) the geographical location of the globe may affect the value of the shape parameter; and (d) the winner of this battle is the Frechet law.

291 citations

Book
04 Nov 2010
TL;DR: In this article, the authors introduce persistence models and Bootstrap Confidence Intervals for univariate and bivariate time series analysis, and present a future direction for future directions. But, they do not discuss the use of spectral analysis.
Abstract: Part I: Fundamental Concepts.- 1 Introduction.- 2 Persistence Models.- 3 Bootstrap Confidence Intervals.- Part II: Univariate Time Series.- 4 Regression I.- 5 Spectral Analysis.- 6. Extreme Value Time Series.- Part III: Bivariate Time Series.- 7 Correlation.- 8 Regression II.- Part IV: Outlook.- 9 Future Directions.

261 citations