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1
Probabilistic Patient Monitoring with Multivariate, Multimodal Extreme Value Theory
Published 2011“…We propose a principled, probabilistic method for combining vital signs into a multivariate model of patient state, using extreme value theory (EVT) to generate robust alarms if a patient's vital signs are deemed to have become sufficiently "extreme". …”
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2
On-line Novelty Detection Using the Kalman Filter and Extreme Value Theory
Published 2008“…Our approach is based on a Kalman filter in order to model time-series data and extreme value theory is used to compute a novelty measure in a principled manner. …”
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3
A COMPARISON OF APPROACHES TO MULTIVARIATE EXTREME VALUE THEORY FOR NOVELTY DETECTION
Published 2009Conference item -
4
NOVELTY DETECTION WITH MULTIVARIATE EXTREME VALUE THEORY, PART II: AN ANALYTICAL APPROACH TO UNIMODAL ESTIMATION
Published 2009Conference item -
5
NOVELTY DETECTION WITH MULTIVARIATE EXTREME VALUE THEORY, PART I: A NUMERICAL APPROACH TO MULTIMODAL ESTIMATION
Published 2009“…Extreme Value Theory (EVT) describes the distribution of data considered extreme with respect to some generative distribution, effectively modelling the tails of that distribution. …”
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6
Data and uncertainty in extreme risks: a nonlinear expectations approach
Published 2018“…However, when we are in a heavy-tailed context (in particular when our data are described by a Pareto distribution, as is common in much of extreme value theory), the theory of [5] is insufficient, and requires an additional regularization step which we introduce. …”
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7
PINNING THE TAIL ON THE DISTRIBUTION: A MULTIVARIATE EXTENSION TO THE GENERALISED PARETO DISTRIBUTION
Published 2011“…Models of normality are constructed from commonly-available examples of "normal" behaviour, and we then reason about the presence of abnormalities with respect to this normal model. Extreme value theory (EVT) is a branch of statistics that is concerned with modelling extremal events, and is therefore appealing for use with novelty detection. …”
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8
Bayesian extreme value statistics for novelty detection in gas-turbine engines
Published 2008“…We present a novel method for the identification of abnormal episodes in gas-turbine vibration data, in which we show 1) how a model of normal engine behaviour is constructed using signatures of "normal" engine vibration response; 2) how extreme value theory (EVT), a branch of statistics used to determine the expected value of extreme values drawn from a distribution, can be used to set novelty thresholds in the model, which, if exceeded, indicate an "abnormal" episode; 3) application to large data sets of modern gas-turbine flight data, which shows successful novelty detection results with low false-positive alarm rates. …”
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9
Extreme value statistics for novelty detection in biomedical signal processing
Published 2000“…Extreme value theory (EVT) is a branch of statistics which concerns the distributions of data of unusually low or high value i.e. in the tails of some distribution. …”
Conference item