On the optimal prediction of extreme events in heavy-tailed time series with applications to solar flare forecasting

Music City Center 

The prediction of extreme events in time series is a fundamental problem arising in many financial, scientific, engineering, and other applications. In this talk, I will present a general Neyman-Pearson-type characterization of optimal extreme event predictors in terms of density ratios. This characterization yields new insights and several closed-form optimal extreme event predictors for additive models. These results naturally extend to time series; I will discuss optimal extreme event prediction for heavy-tailed autoregressive and moving average models. Using a uniform law of large numbers for ergodic time series, we have established the asymptotic optimality of an empirical version of the optimal predictor for autoregressive models. Using multivariate regular variation, we have obtained expressions for the optimal extremal precision in heavy-tailed infinite moving averages, which provide theoretical bounds on the ability to predict extremes in this general class of models. I will close by describing the application of our theory and methodology to the important problem of solar flare prediction. Our results demonstrate the success and limitations of long-memory autoregressive as well as long-range dependent heavy-tailed FARIMA models for the prediction of extreme solar flares.