2025/11/19 by Bocquet-Nouaille, Louison, Morio, Jérôme, Bobbia, Benjamin
Earth and Planetary Sciences · Environmental Science · #FOS: Computer and information sciences #FOS: Mathematics #Hydrology and Drought Analysis #Meteorological Phenomena and Simulations #Methodology (stat.ME) #Statistics Theory (math.ST) #Tropical and Extratropical Cyclones Research
paper · doi:10.48550/arxiv.2511.15561
openalex publication_date 2025/11/19 · openalex created_date 2025/11/23 · openalex updated_date 2026/07/28
The estimation of the Extreme Value Index (EVI) is fundamental in extreme value analysis but suffers from high variance due to reliance on only a few extreme observations. We propose a control variates based transfer learning approach in a semi-supervised framework, where a small set of coupled target and source observations is combined with abundant unpaired source data. By expressing the Hill estimator of the target EVI as a ratio of means, we apply approximate control variates to both numerator and denominator, with jointly optimized coefficients that guarantee variance reduction without introducing bias. We show theoretically and through simulations that the asymptotic relative variance reduction of the transferred Hill estimator is proportional to the tail dependence between the target and source variables and independent of their EVI values. Thus, substantial variance reduction can be achieved even without similarity in tail heaviness of the target and source distributions. The proposed approach can be extended to other EVI estimators expressed with ratio of means, as demonstrated on the moment estimator. The practical value of the proposed method is illustrated on multi-fidelity water surge and ice accretion datasets.