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Conventional geostatistical methodology solves the problem of predicting the realized value of a linear functional of a Gaussian spatial stochastic process S
x) based on observations Yi S
xi Zi at sampling locations xi , where the Zi are mutually independent, zero-mean Gaussian random variables. We describe two spatial applications for which Gaussian… (More)

We propose a multivariate extreme value threshold model for joint tail estimation which overcomes the problems encountered with existing techniques when the variables are near independence. We examine inference under the model and develop tests for independence of extremes of the marginal variables, both when the thresholds are fixed, and when they increase… (More)

Multivariate extreme value theory and methods concern the characterization, estimation and extrapolation of the joint tail of the distribution of a d-dimensional random variable. Existing approaches are based on limiting arguments in which all components of the variable become large at the same rate.This limit approach is inappropriate when the extreme… (More)

In this paper we propose a new particle smoother that has a computational complexity of O(N), where N is the number of particles. This compares favourably with the O(N) computational cost of most smoothers and will result in faster rates of convergence for fixed computational cost. The new method also overcomes some of the degeneracy problems we identify in… (More)

- Ser-Huang Poon, Michael Rockinger, Jonathan A. Tawn
- 2003

This paper presents a general framework for identifying and modelling joint-tail distribution based on multivariate extreme value theories. We argue that the multivariate approach is the most efficient and effective way to study extreme events such as systemic risk and crisis. We show, using returns on five major stock indices, that the use of traditional… (More)

In recent research on extreme value statistics, there has been an extensive development of threshold methods, first in the univariate case but subsequently in the multivariate case as well. In this paper, we develop an alternative methodology for extreme values of univariate time series, by assuming that the time series is Markovian and using bivariate… (More)

- BY PAOLA BORTOT, Jonathan A. Tawn
- 2005

The modelling of extremes of a time series has progressed from the assumption of independent observations to more realistic forms of temporal dependence. In this paper, we focus on Markov chains, deriving a class of models for their joint tail which allows the degree of clustering of extremes to decrease at high levels, overcoming a key limitation in… (More)

- Lucy Smethurst, Mike R. James, Harry Pinkerton, Jonathan A. Tawn
- 2009

S U M M A R Y A rigorous analysis of the timing and location of flank eruptions of Mount Etna on Sicily is important for the creation of hazard maps of the densely populated area surrounding the volcano. In this paper, we analyse the temporal, volumetric and spatial data on eruptive activity on Etna. Our analyses are based on the two most recent and robust… (More)

- Paul V Tisi, A. Mirnezami, Shawn Baker, Jonathan A. Tawn, Simon D. Parvin, Sabina Darke
- European journal of vascular and endovascular…
- 2002

OBJECTIVES
To determine the clinical outcome of subintimal angioplasty (SA) and to assess impact on surgical workload.
DESIGN
Retrospective review of a single radiologist's case series.
MATERIALS
One hundred and twenty two patients with critical limb ischaemia and 26 with claudication.
METHODS
One hundred and fifty eight limbs treated by SA.
MAIN… (More)

- Neil George Chalmers, K Jones, K. Drinkwater, Raman Uberoi, Jonathan A. Tawn
- Clinical radiology
- 2008

AIM
To investigate the effectiveness of the Royal College of Radiologists Audit Sub-Committee's national prospective registry of percutaneous nephrostomy, which enables participants to audit their practice and compare performance with predetermined standards.
METHODS
Following a limited retrospective audit, which permitted setting of achievable targets, a… (More)