An utopic adventure in the modelling of conditional univariate and multivariate extremes

Abstract: The EVA 2023 data competition consisted of four challenges, ranging from interval estimation for very high quantiles of univariate extremes conditional on covariates, point estimation of unconditional return levels under a custom loss function, to estimation of the probabilities of tail events for low and high-dimensional multivariate data. We tackle these tasks by revisiting the current and existing literature on conditional univariate and multivariate extremes. We propose new cross-validation methods for covariate-dependent models, validation metrics for exchangeable multivariate models, formulae for the joint probability of exceedance for multivariate generalized Pareto vectors and a composition sampling algorithm for generating multivariate tail events for the latter. We highlight overarching themes ranging from model validation at extremely high quantile levels to building custom estimation strategies that leverage model assumptions.