Code for the WSDM 2021 paper "FluxEV: A Fast and Effective Unsupervised Framework for Time-Series Anomaly Detection".

Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.

This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.

DPhil project: Extreme value theory and GANs to generate compound coastal hazards (wind speed + sea level pressure) from ERA5 reanalysis data over the Bay of Bengal. In development...

EVT-based noise injection toolkit for evaluating time series forecasting robustness

Pure-Python library of heavy-tailed probability distributions (Pareto, Burr, LogNormal, etc.) built from first principles.

Python package for fitting statistical models using calibrating priors.

Potential Height Python packages: runs the experiments for "Finding the potential height of tropical cyclone storm surges in a changing climate using Bayesian optimization"

Estimate tail parameters of heavy-tailed distributions (including power law exponent gamma) in Python

A deep study of human longevity using demographic data (HLD, IDL) and Extreme Value Theory to assess the potential existence of a theoretical limit to human lifespan

Find The Tail - Matlab

GNN for spatiotemporal Forecasting using Extreme Value Theory

Two-stage frequentist framework for fusing sparse observations with dense simulations in spatial extreme value analysis

A specialized Python library for sparse multivariate extreme value analysis, structure learning, and robust spectral measure estimation using extremal graphical models.

R package for estimation of elliptical extreme quantile regions

Multi-asset VaR & stress-testing framework: 5 VaR methods + Expected Shortfall, Kupiec/Christoffersen backtesting, GARCH-FHS, EVT, component VaR.

A Rust library and command-line tool for analyzing Power-Law distributions in empirical data.

Estimating Value at Risk (VaR) and Median Shortfall using Extreme Value Theory on daily simple returns of the NASDAQ Composite index.

Tail-aware JAX/Flax transformer for X-class solar flare forecasting from SHARP.