On the simulation of extreme events with neural networks
Abstract
This article aims at investigating the use of generative methods based on neural networks to simulate extreme events. Although very popular, these methods are mainly invoked in empirical works. Therefore, providing theoretical guidelines for using such models in extreme values context is of primal importance. To this end, we propose an overview of most recent generative methods dedicated to extremes, giving some theoretical and practical tips on their tail behaviour thanks to both extreme-value and copula tools.
Domains
Statistics [math.ST]| Origin | Files produced by the author(s) |
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