Contributors

Marc Andreewsky EDF R&D, Chatou, France

Pietro Bernardara EDF R&D, Chatou, France
Nicolas Bousquet EDF R&D, Chatou, France
Anne Dutfoy EDF R&D, Palaiseau, France
Emmanuel Garnier Research Professor CNRS, University of Besançon,
Besançon, France
Thi-Thu-Huong Hoang EDF R&D, Palaiseau, France
Emmanuel Paquet EDF-DTG, Grenoble, France
Sylvie Parey EDF R&D, Palaiseau, France
Nicolas Roche EDF R&D, Palaiseau, France
Alain Sibler EDF R&D, Palaiseau, France
Jérôme Weiss EDF R&D, Palaiseau, France

xv
Notations

The following notations are defined at their first occurrence within the text. They
will be reused without reminded afterward. Very generally, random variables will
be denoted using capital letters, while their realizations will be denoted with usual
ones. Vectors and matrices will be written in bold type, unlike scalars.

Probability Distributions

Centered reduced Gaussian N (0, 1)

Generalized Pareto G P D (u, σ, ξ )
Exponential E(λ)
Gaussian N (μ, σ 2 )
Generalized extreme values G E V (μ, σ, ξ )
Bernoulli Be ( p)
Binomial B(N , p)
Poisson P(λ)

Abbreviations

iid Independent and identically distributed

rv Random variable
MLE Maximum likelihood estimator
LSE Least square estimator
X Multidimensional random vector of study (in dimension d)
X Unidimensional random variable of study
P(.) Usual probability measure (Lebesgue-dominated)
X Canonic notation for the probabilized space of X
B(A) Borelian σ −algebra over a space A
P(A) Set of partitions of A
xvii
xviii Notations

1{x∈A} Indicator function

∅ Void or null set
Z Random variable of interest
xi = (x1,i , . . . , xd,i ) realization of X
FX Cumulative distribution function of X
fX Probability density function of X
θ Generic notation for a parameter vector of the distribution of
X
 Space of parameter vector θ
FX (. | θ ) Cumulative distribution function of X, parametrized by θ
f X (. | θ ) Probability density function of X, parametrized by θ
L(x1 , . . . , xn | θ ) Statistical likelihood of observations (x1 , . . . , xn ) condi-
tional to θ
π(θ) Bayesian prior density function of θ
π(θ | x1 , . . . , xn ) Bayesian posterior density function given a sample
(x1 , . . . , xn )
(θ ) Prior cumulative distribution function
(θ | x1 , . . . , xn ) Posterior cumulative distribution function
an , bn Sequences of vectors related in the statement of limit theo-
rems (e.g., Fisher–Tippett–Gnedenko)
Nu Random number of exceedances of a threshold u
NCu Random number of clusters obtained using the threshold u
χ (χ sup , χ inf ) Tail dependence coefficients (sup / inf)
χ̄ Extremal dependence coefficient under asymptotic indepen-
dence
D(F) Attraction domain of a cumulative distribution function F
 Stable tail dependence function
Cθ or C F Copula of parameter or linked to a multivariate distribution
F
η Extremal index (or coefficient)
ρ Generic notation for a correlation coefficient
ρ Generic notation for a correlation matrix
sign(x) Sign of x
Supp(f) Support of density function f
E X [.] Expectated value (expectation) of X (X can be removed
when non-ambiguous)
V X [.] Variance of X
CovX [.] Covariance matrix of X
Mk [.] Moment of order k
Mk,r,s [.] Weighted moment of orders (k, r, s)
xp Return level associated to a probability p
p Probability of exceedance (e.g., annual) P(X > x p )
T Time period of interest (e.g., T = 1/ p)
R Set of real numbers
N Set of integer numbers
Notations xix

zα Quantile of order α of the centered reduced Gaussian

distribution
φ(.) Density function of the centered reduced Gaussian distribu-
tion
L2 Space of square-integrable functions
C Generic notation for a functional regularity class
< ., . > Canonic scalar product
AT Transpose of A
tr(A) Trace of A
diag(A) Diagonal vector of A
|A| Determinant of A
∇(X ) Gradient of X
X1 ∨ X2 Component-wise maximum
L In-law convergence
−
→
P Convergence in probability
−
→
a.s. Almost sure convergence
−→
log Neperian logarithm
exp(.) Exponential function
Maps

Location of the main French sites studied in this book: Besançon (1), Gravelines (2), Bordeaux (3),
La Faute-sur-Mer (4), Saint-Servan (5), La Rochelle (6), Penta-di-Casinca (7), Ile d’Yeu (8), Brest
(9), Nantes (10), Grenoble (11), Kembs (12)

xxi
xxii Maps

Location of the main British sites studied in this book: North Norfolk Coast (A), Newlyn (B)