11 May 2026 -Juliette Legrand (Université de Bretagne Occidentale )

Nonparametric simulation of multivariate extreme events via spectral bootstrap

Stochastic simulation of extreme events in a multivariate setting is of great interest as it captures not only the statistical behaviour of the extremes, but also the dependence between large values of complex processes. Based on a spectral representation of multivariate generalised Pareto distributed random vectors, we present two non-parametric algorithms for simulating multivariate extreme events. These algorithms can be used, in particular, to improve the estimation of various risk measures at extreme levels by increasing the number of extreme samples available. The performance of the algorithms is demonstrated using both simulated and real-world data.

This presentation is based on joint work with P. Ailliot, P. Naveau, and N. Raillard, and with N. Madhar and M. Thomas.