Extreme value theory applied to the auroral electrojet indices

The study of extreme weather and space events has gained paramount importance in modern society owing to rapid advances in high technology.Understanding and describing exceptional occurrences plays a crucial role in making decisive assessments of their potential impact on technical,economic,and social aspects in various fields.This research focuses on analyzing the hourly values of the auroral electrojet(AE)geomagnetic index from 1957 to 2019 by using the peak over threshold method in extreme value theory.By fitting the generalized Pareto distribution to extreme AE values,shape parameter indices were derived,revealing negative values that establish an upper bound for this time series.Consequently,it became evident that the AE values had reached a plateau,suggesting that extreme events exceeding the established upper limit are rare.As a result,although the need for diligent precautions to mitigate the consequences of such extreme events persists,surpassing the upper limit of AE values becomes increasingly challenging.It is also possible to observe an aurora in the middle-and low-latitude regions during the maximum period of the AE index.

Estimation of Return Level for Maximum Daily and Hourly Precipitation in Nagano Prefecture, Japan, Using the Extreme Value Theory

The weather in Nagano Prefecture, Japan, can be roughly classified into four types according to principal component analysis and k-means clustering. We predicted the extreme values of the maximum daily and hourly precipitation in Nagano Prefecture using the extreme value theory. For the maximum daily precipitation, the vales of ξ in Matsumoto, Karuizawa, Sugadaira, and Saku were positive;therefore, it has no upper bound and tends to take large values. Therefore, it is dangerous and caution is required. The values of ξ in Nagano, Kisofukushima, and Minamishinano were determined to be zero, therefore, there was no upper limit, the probability of obtaining a large value was low, and caution was required. We predicted the maximum return levels for return periods of 10, 20, 50, and 100 years along with respective 95% confidence intervals in Nagano, Matsumoto, Karuizawa, Sugadaira, Saku, Kisofukushima, and Minamishinano. In Matsumoto, the 100-year return level was 182 mm, with a 95% CI [129, 236]. In Minamishinano, the 100-year return level was 285 mm, with a 95% CI [173, 398]. The 100-year return levels for the maximum daily rainfall were 285, 271, and 271 mm in Minamishinano, Saku, and Karuizawa, respectively, where the changes in the daily maximum rainfall were larger than those at other points. Because these values are large, caution is required during heavy rainfall. The 100-year return levels for the maximum daily and hourly precipitation were similar in Karuizawa and Saku. In Sugadaira, the 100-year return level for a maximum hourly rainfall of 107.2 mm was larger than the maximum daily rainfall. Hence, it is necessary to be careful about short-term rainfall events.

“Extreme utilization” theory and practice in gas storages with complex geological conditions

Based on more than 20-year operation of gas storages with complex geological conditions and a series of research findings, the pressure-bearing dynamics mechanism of geological body is revealed. With the discovery of gas-water flowing law of multi-cycle relative permeability hysteresis and differential utilization in zones, the extreme utilization theory targeting at the maximum amount of stored gas, maximum injection-production capacity and maximum efficiency in space utilization is proposed to support the three-in-one evaluation method of the maximum pressure-bearing capacity of geological body, maximum well production capacity and maximum peak shaving capacity of storage space. This study realizes the full potential of gas storage(storage capacity) at maximum pressure, maximum formation-wellbore coordinate production, optimum well spacing density match with finite-time unsteady flow, and peaking shaving capacity at minimum pressure, achieving perfect balance between security and capacity. Operation in gas storages, such as Hutubi in Xinjiang, Xiangguosi in Xinan, and Shuang6 in Liaohe, proves that extreme utilization theory has promoted high quality development of gas storages in China.

Analyzing of the ENSO Index Using Extreme Value Theory

We predicted the extreme values of the ENSO index, the Niño3.4 index, and the Southern Oscillation Index (SOI) using extreme value theory. Various diagnostic plots for assessing the accuracy of the Generalized Pareto (GP) model fitted to the Niño3.4 index and SOI are shown, and all four diagnostic plots support the fitted GP model. Because the shape parameter of the Niño3.4 was negative, the Niño3.4 index had a finite upper limit. In contrast, that of the SOI was zero, therefore the SOI did not have a finite upper limit, and there is a possibility that a significant risk will occur. We predicted the maximum return level for the return periods of 10, 20, 50, 100, 350, and 500 years and their respective 95% confidence intervals, CI. The 10-year, and 100-year return levels for Niño3.4 were estimated to be 2.41, and 2.62, with 95% CI [2.22, 2.59], and [2.58, 2.66], respectively. The Niño3.4 index was 2.65 in the 2015/16 super El Niño, which is a phenomenon that occurs once every 500 years. The Niño3.4 index was 2.51 in the 1982/83, and 1997/98 super El Niño, which is a phenomenon that occurs once every 20 years. Recently, a large super El Niño event with a small probability of occurrence has occurred. In response to global warming, the super El Niño events are becoming more likely to occur.

Analysis of the USD/JPY and EUR/JPY Exchange Rates Using Multifractal Analysis and Extreme Value Theory

We performed a multifractal analysis using wavelet transform to detect the changes in the fractality of the USD/JPY and EUR/JPY exchange rates, and predicted their extreme values using extreme value theory. After the 1997 Asian financial crisis, the USD/JPY and EUR/JPY became multifractal, then the USD/JPY became monofractal and stable, and yen depreciation was observed. However, the EUR/JPY became multifractal and unstable, and a strong yen depreciation was observed. The coherence between the USD/JPY and EUR/JPY was strong between 1995 and 2000. After the 2007-2008 financial crisis, the USD/JPY became monofractal and stable, and yen appreciation was observed. However, the EUR/JPY became multifractal and unstable, and strong yen appreciation was observed. Various diagnostic plots for assessing the accuracy of the GP model fitted to USD/JPY and EUR/JPY are shown, and all the diagnostic plots support the fitted GP model. The shape parameters of USD/JPY and EUR/JPY were close to zero, therefore the USD/JPY and EUR/JPY did not have finite upper limits. We predicted the maximum return level for the return periods of 10, 20, 50, 100, 350, and 500 years and their respective 95% confidence intervals (CI). As a result, the 10-year and 100-year return levels for USD/JPY were estimated to be 149.6 and 164.8, with 95% CI [143.2, 156.0] and [149.4, 180.1], respectively.

Network Traffic Based on GARCH-M Model and Extreme Value Theory

GARCH-M ( generalized autoregressive conditional heteroskedasticity in the mean) model is used to analyse the volatility clustering phenomenon in mobile communication network traffic. Normal distribution, t distribution and generalized Pareto distribution assumptions are adopted re- spectively to simulate the random component in the model. The demonstration of the quantile of network traffic series indicates that common GARCH-M model can partially deal with the "fat tail" problem. However, the "fat tail" characteristic of the random component directly affects the accura- cy of the calculation. Even t distribution is based on the assumption for all the data. On the other hand, extreme value theory, which only concentrates on the tail distribution, can provide more ac- curate result for high quantiles. The best result is obtained based on the generalized Pareto distribu- tion assumption for the random component in the GARCH-M model.

Analysis of Japan and World Records in the 100 m Dash Using Extreme Value Theory

Extreme value theory provides methods to analyze the most extreme parts of data. We predicted the ultimate 100 m dash records for men and women for specific periods using the generalized extreme value (GEV) distribution. The various diagnostic plots, which assessed the accuracy of the GEV model, were well fitted to the 100 m records in the world and Japan, validating the model. The men’s world record had a shape parameter of -0.250 with a 95% confidence interval of [-0.391, -0.109]. The 100 m record had a finite limit and a calculated upper limit was 9.46 s. The return level estimates for the men’s world record were 9.74, 9.62, and 9.58 s with a 95% confidence interval of [9.69, 9.79], [9.54, 9.69], and [9.48, 9.67] for 10-, 100- and 350-year return periods, respectively. In one year, the probability of occurrence for a new world record of men, 9.58 s (Usain Bolt), was 1/350, while that for women, 10.49 s (Florence Griffith-Joyner), was about 1/100, confirming it was more difficult for men to break records than women.

“Extreme utilization”development theory of unconventional natural gas

In the process of unconventional natural gas development practice,the"extreme utilization"concept that focuses on"continuously breaking through the limit of development technology"is gradually formed,and supports the scale benefit exploration of unconventional gas in China.On this basis,the development theory of"extreme utilization"is proposed,its theoretical connotation together with development technologies of unconventional natural gas are clarified.The theoretical connotation is that,aiming at"extreme gas reservoirs","extreme techniques"are utilized to build subsurface connected bodies,expand the discharge area,and enlarge the production range,to obtain the maximum single-well production,extreme recovery,and eventually achieve the"extreme effect"of production.The series of development technologies include micro/nano-scale reservoir evaluation,"sweet spot"prediction,unconventional percolation theory and production capacity evaluation,optimization of grid well pattern,optimal-fast drilling and volume fracturing,and working regulation optimization and"integrated"organizing system.The"extreme utilization"development theory has been successfully applied in the development of unconventional gas reservoirs such as Sulige tight gas,South Sichuan shale gas,and Qinshui coalbed methane.Such practices demonstrate that,the"extreme utilization"development theory has effectively promoted the development of unconventional gas industry in China,and can provide theoretical guidance for effective development of other potential unconventional and difficult-to-recovery resources.

Analyzing the Annual Maximum Magnitude of Earthquakes in Japan by Extreme Value Theory

One of the most important and interesting issues associated with the earthquakes is the long-term trend of the extreme events. Extreme value theory provides methods for analysis of the most extreme parts of data. We estimated the annual maximum magnitude of earthquakes in Japan by extreme value theory using earthquake data between 1900 and 2019. Generalized extreme value (GEV) distribution was applied to fit the extreme indices. The distribution was used to estimate the probability of extreme values in specified time periods. The various diagnostic plots for assessing the accuracy of the GEV model fitted to the magnitude of maximum earthquakes data in Japan gave the validity of the GEV model. The extreme value index, ξ was evaluated as −0.163, with a 95% confidence interval of [−0.260, −0.0174] by the use of profile likelihood. Hence, the annual maximum magnitude of earthquakes has a finite upper limit. We obtained the maximum return level for the return periods of 10, 20, 50, 100 and 500 years along with their respective 95% confidence interval. Further, to get a more accurate confidence interval, we estimated the profile log-likelihood. The return level estimate was obtained as 7.83, 8.60 and 8.99, with a 95% confidence interval of [7.67, 8.06], [8.32, 9.21] and [8.61, 10.0] for the 10-, 100- and 500-year return periods, respectively. Hence, the 2011 off the Pacific coast of Tohoku Earthquake, which was the largest in the observation history of Japan, had a magnitude of 9.0, and it was a phenomenon that occurs once every 500 year.

Empirical Analysis of Value-at-Risk Estimation Methods Using Extreme Value Theory

This paper investigates methods of value-at-risk (VaR) estimation using extreme value theory (EVT). It compares two different estimation methods, 'two-step subsample bootstrap' based on moment estimation and maximum likelihood estimation (MLE), according to their theoretical bases and computation procedures. Then, the estimation results are analyzed together with those of normal method and empirical method. The empirical research of foreign exchange data shows that the EVT methods have good characters in estimating VaR under extreme conditions and 'two-step subsample bootstrap' method is preferable to MLE.

Analysis of Network Traffic with Extreme Value Theory

It is very im portant to analyze network traffic in the network control and management. In thi s paper, extreme value theory is first introduced and a model with threshold met hods is proposed to analyze the characteristics of network traffic. In this mode l, only some traffic data that is greater than threshold value is considered. Th en the proposed model with the trace is simulated by using S Plus software. The modeling results show the network traffic model constructed from the extreme va lue theory fits well with that of empirical distribution. Finally, the extreme v alue model with the FARIMA(p,d,q) modeling is compared. The anal ytical results illustrate that extreme value theory has a good application foreg round in the statistic analysis of network traffic. In addition, since only some traffic data which is greater than the threshold is processed, the computation overhead is reduced greatly.

Estimation of Dynamic VaR in Chinese Stock Markets Based on Time Scale and Extreme Value Theory

The accuracy and time scale invariance of value-at-risk （VaR） measurement methods for different stock indices and at different confidence levels are tested. Extreme value theory （EVT） is applied to model the extreme tail of standardized residual series of daily/weekly indices losses, and parametric and nonparametric methods are used to estimate parameters of the general Pareto distribution （GPD）, and dynamic VaR for indices of three stock markets in China. The accuracy and time scale invariance of risk measurement methods through back-testing approach are also examined. Results show that not all the indices accept time scale invariance; there are some differences in accuracy between different indices at various confidence levels. The most powerful dynamic VaR estimation methods are EVT-GJR-Hill at 97.5% level for weekly loss to Shanghai stock market, and EVT-GARCH-MLE （Hill） at 99.0% level for weekly loss to Taiwan and Hong Kong stock markets, respectively.

Application of Extreme Value Theory to Generation and Analysis of Pseudorandom Samples

The article deals with the methodology of pseudorandom data analysis. As a mathematical tool for carrying out the research the extreme value theory was used that creates one of the directions in mathematical statistics, and is related to investigating the extreme deviations from the median values in probability distributions. Also, the methods for estimating unknown parameters and algorithm of random-number generation are discussed. The models of treatment the extreme values are constructed which are based on machine generated sample and approach is proposed for their future application for constructing forecasting models.

Ultimate Olympics Records in Athletics Using Extreme Value Theory

Extreme value theory provides methods to analyze the most extreme parts of data. We used the generalized extreme value (GEV) distribution to predict the ultimate 100 m, 200 m, 400 m, 4 × 100 m relay, and long jump records of male gold medalists at the Olympics. The diagnostic plots, which assessed the accuracy of the GEV model, were fitted to all event records, validating the model. The 100 m, 200 m, 400 m, 4 × 100 m, and long jump records had negative shape parameters and calculated upper limits of 9.58 s, 19.18 s, 42.97 s, 36.71 s, and 9.03 m, respectively. The calculated upper limit in the 100 m (9.58 s) was equal to the record of Usain Bolt (August 16, 2009). The 100 m and 200 m world records were close to the calculated upper limits, and achieving the calculated limit was difficult. The 400 m and 4 × 100 m relay world records were almost equal to the calculated upper limits and the 500-year return level estimate, and slight improvement was possible in both. At the Tokyo Olympics in August 2021, in the 100 m, 200 m, and 4 × 100 m, in one year the probability of occurrence for a record was about 1/30. In the 400 m and long jump, it was about 1/20. In the 100 m, 200 m, and 4 × 100 m relay, more difficult records show that a fierce battle has taken place.

“Extreme utilization”development of deep shale gas in southern Sichuan Basin,SW China

To efficiently develop deep shale gas in southern Sichuan Basin,under the guidance of“extreme utilization”theory,a basic idea and solutions for deep shale gas development are put forward and applied in practice.In view of multiple influencing factors of shale gas development,low single-well production and marginal profit of wells in this region,the basic idea is to establish“transparent geological body”of the block in concern,evaluate the factors affecting shale gas development through integrated geological-engineering research and optimize the shale gas development of wells in their whole life cycle to balance the relationship between production objectives and development costs.The solutions are as follows:(1)calculate the gold target index and pinpoint the location of horizontal well drilling target,and shale reservoirs are depicted accurately by geophysical and other means to build underground transparent geological body;(2)optimize the drilling and completion process,improve the adaptability of key tools by cooling,reducing density and optimizing the performance of drilling fluid,the“man-made gas reservoir”is built by comprehensively considering the characteristics of in-situ stress and fractures after the development well is drilled;(3)through efficient management,establishment of learning curve and optimization of drainage and production regime,the development quality and efficiency of the well are improved across its whole life cycle,to fulfil“extreme utilization”development of shale gas.The practice shows that the estimated ultimate recovery of single wells in southern Sichuan Basin increase by 10%-20%than last year.

Statistical Modeling and Trend Detection of Extreme Sea Level Records in the Pearl River Estuary

Sea level rise has become an important issue in global climate change studies. This study investigates trends in sea level records, particularly extreme records, in the Pearl River Estuary, using measurements from two tide gauge stations in Macao and Hong Kong. Extremes in the original sea level records （daily higher high water heights） and in tidal residuals with and without the 18.6-year nodal modulation are investigated separately. Thresholds for defining extreme sea levels are calibrated based on extreme value theory. Extreme events are then modeled by peaks-over-threshold models. The model applied to extremes in original sea level records does not include modeling of their durations, while a geometric distribution is added to model the duration of extremes in tidal residuals. Realistic modeling results are recommended in all stationary models. Parametric trends of extreme sea level records are then introduced to nonstationary models through a generalized linear model framework. The result shows that, in recent decades, since the 1960s, no significant trends can be found in any type of extreme at any station, which may be related to a reduction in the influence of tropical cyclones in the region. For the longer-term record since the 1920s at Macao, a regime shift of tidal amplitudes around the 1970s may partially explain the diverse trend of extremes in original sea level records and tidal residuals.

An Extreme Value Approach to Test the Effect of Price Limits on Volatility

Many stock exchanges around the world enforcing daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Price limits are artificial boundaries set by market regulators who restrict price changes of a stock to a pre-specified range during a trading day or a single trading session. The primary aim of price limit rules is to stabilize the markets during panic trading, to moderate vitality by repressing excessive speculation, and to allow stocks to be traded at prices close to their fair value. However, their impact on the market is a somewhat unresolved issue （Harris, 1998）. Using a methodology of comparing volatility based on the extreme value technique, the authors empirically investigate the impact of price limits on the volatility of the Stock Exchange of Thailand. The empirical results support price limits advocates, suggesting that price limits rules moderate stock price volatility.

Using Extreme Value Theory to Assess the Mortality Risk of Tornado Outbreaks

The majority of tornado fatalities occur during severe thunderstorm occurrences that produce a large number of tornadoes,termed tornado outbreaks.This study used extreme value theory to estimate the impact of tornado outbreaks on fatalities while accounting for climate and demographic factors.The findings indicate that the number of fatalities increases with the increase of tornado outbreaks.Additionally,this study undertook a counterfactual analysis to determine what would have been the probability of a tornado outbreak under various climatic and demographic scenarios.The results of the counterfactual study indicate that the likelihood of increased mortality increases as the population forecast grows.Intensified El Niño events,on the other hand,reduce the likelihood of further fatalities.La Niña events are expected to increase probability of fatalities.

Modeling Cyber Loss Severity Using a Spliced Regression Distribution with Mixture Components

Cyber losses in terms of number of records breached under cyber incidents commonly feature a significant portion of zeros, specific characteristics of mid-range losses and large losses, which make it hard to model the whole range of the losses using a standard loss distribution. We tackle this modeling problem by proposing a three-component spliced regression model that can simultaneously model zeros, moderate and large losses and consider heterogeneous effects in mixture components. To apply our proposed model to Privacy Right Clearinghouse (PRC) data breach chronology, we segment geographical groups using unsupervised cluster analysis, and utilize a covariate-dependent probability to model zero losses, finite mixture distributions for moderate body and an extreme value distribution for large losses capturing the heavy-tailed nature of the loss data. Parameters and coefficients are estimated using the Expectation-Maximization (EM) algorithm. Combining with our frequency model (generalized linear mixed model) for data breaches, aggregate loss distributions are investigated and applications on cyber insurance pricing and risk management are discussed.

Seismic Hazard Assessment for Selected Real Locality in Central Europe-Critical Points of Assessment

The seismic hazard value is a fundamental quantity for the seismic risk assessment and for the determination of terms of references of seismic design of important facilities as dams, chemical plants, nuclear power plants, etc.. In real sites, the seismic hazard value is influenced by both, the earthquake sizes, the impacts of which in a given site may be expected, and the properties of geological structure through which seismic waves spread from earthquake loci to a given site. The seismic risk is predetermined by hazard value, distribution of assets in the given site and asset numbers and vulnerabilities. The paper describes the used procedure of hazard assessment of important sites. The attention is especially paid to the basic steps as the data collection （homogeneity level, uncertainty and vagueness）, the focal region boundaries （their uncertainties and vagueness）, and the maximum expected earthquake size in each focal region that must be taken into account （its uncertainty and vagueness）, because they substantially influence the hazard value. Discussion is also concentrated to the attenuation that Central Europe substantially depends on the azimuth between earthquake focus and the given site. The attenuation differences are shown in seismic scenarios for individual focal regions. They are caused by focal mechanisms in near focal zone and differences in structure properties in distant zone; the boundary between near and distant zone in Central Europe is ca 2.5 h, where h is the focal depth in km. The real results are given for a real locality in Central Europe. It is shown than that great influence on hazard value is caused by great differences in azimuth attenuation curves. It is the reality that the Bohemian Massif is characterised with very low seismic attenuation in comparison with its vicinity. The following real results are presented： geological structure of near site vicinity, earthquake catalogue for Central Europe, focal regions in Central Europe, attenuation curves in Central Europe, typical earthquake isoseismals for individual focal regions, frequency graph, recurrence probability curve, etc.. The approaches used for nuclear facilities were recommended by the IAEA （International Atomic Energy Agency）.