Research Interest

• Statistics of Extremes
• Asymptotic Statistics
• Non-Parametric Statistics
• Probabilistic forecast of extreme events

Papers

• Extreme quantile regression using grandient boosting, with Jasper Velthoen, Clément Dombry and Sebastian Engleke, Revised and Resubmitted.

• Forward variable selection for random forest models, with Jasper Velthoen and Geurt Jongbloed, Journal of Applied Statistics (2022)

• Parametric and non-parametric estimation of extreme earthquake event: the joint tail inference for mainshocks and aftershocks, with Phyllis Wan and Gamze Ozel, Extremes 24 (2021).

• Improving precipitation forecasts using extreme quantile regression, with Jasper Velthoen, Geurt Jongbloed and Maurice Schmeits, accepted for publication in Extremes 22 (2019).

• Estimation of the marginal expected shortfall under asymptotic independence, with Eni Musta, Scandinavian Journal of Statistics (2019).

• A high quantile estimator based on the log-Generalised Weibull tail limit, with C. de Valk, Econometrics and Statistics (2017).

• Modified marginal expected shortfall under asymptotic dependence, with - V. Chavez-Demoulin and A. Guillou, Biometrika 104 (2017).

• Estimating the age of Risso’s dolphins (Grampus griseus) based on skin appearance, with K.L. Hartman, A. Wittich , F. H. van der Meulen and J.M.N. Azevedo, Journal of Mammalogy 97 (2016).

• Estimation of MES: the mean when a related variable is extreme, with John H.J. Einmahl, Laurens de Haan and Chen Zhou, Journal of the Royal Statistical Society: Series B, 77 (2015).

• Bias correction in extreme value statistics with index around zero, with Laurens de Haan and Chen Zhou, Extremes 16 (2013).

• Environmental data: multivariate Extreme Value Theory in practice, with Anne-Laure Fougères and Cécile Mercadier, a Journal de la Société Française de Statistique 154 (2013).

• Estimation of extreme risk regions under multivariate regular variation, with John H.J. Einmahl and Laurens de Haan, Annals of Statistics 39 (2011).

• Nonlinear wavelet density estimation for truncated and dependent observations, with Han-Ying Liang, International Journal of Wavelets, Multiresolution and Information Processing 9 (2011).

Grant

NWO – TTW (open technology project) : Probabilistic forecasts of extreme weather utilizing advanced methods from extreme value theory

PhD Supervison

• Jasper Velthoen; September 2023 (supervised jointly with Geurt Jongbloed)