Léo Belzile lbelzile

Welcome to the Github webpage of Léo Belzile

I am an associate professor of statistics in the Department of Decision Sciences at HEC Montréal. Visit my webpage for my curriculum vitae. I am best reached by email.

The repositories on Github contain code for the R packages that I authored or maintain, including

mev - Modelling Extreme Values
TruncatedNormal - Truncated Multivariate Normal and Student Distributions
lcopula - Liouville Copulas
mig - Multivariate Inverse Gaussian Distribution
longevity - Statistical Methods for the Analysis of Excess Lifetimes
threshold - Threshold Selection Methods (✨under active development)
mvPot - Multivariate Peaks-over-Threshold Modelling for Spatial Extreme Events

or of which I am the current maintainer on the CRAN

BMAmevt - Bayesian Model Averaging for Multivariate Extremes
evt0 - Mean of Order P, Peaks over Random Threshold Hill and High Quantile Estimates
VaRES - Computes Value at Risk and Expected Shortfall for over 100 Parametric Distributions
jointPm - Risk Estimation Using the Joint Probability Method
hkevp - Spatial Extreme Value Analysis with the Hierarchical Model of Reich and Shaby (2012)

Olli Saarela, Léo Belzile and David A. Stephens (2016). A Bayesian view of doubly robust causal inference, Biometrika, 103(3): pp. 667–681. DOI:10.1093/biomet/asw025. Code
Léo Belzile and Johanna G. Nešlehová (2017) Extremal attractors of Liouville copulas, Journal of Multivariate Analysis, 160C, pp. 68–92. DOI:10.1016/j.jmva.2017.05.008. Code
Léo R. Belzile, Anthony C. Davison, Holger Rootzén and Dmitrii Zholud (2021). Human mortality at extreme age., Royal Society Open Science, 8: 202097, DOI:10.1098/rsos.202097. Code
Léo R. Belzile, Anthony C. Davison, Jutta Gampe, Holger Rootzén and Dmitrii Zholud (2022). Is there a cap on longevity? A statistical review., Annual Reviews of Statistics and its Application, (9), 18, pp. 1–25. DOI:10.1146/annurev-statistics-040120-025426. Code
Léo R. Belzile and Anthony C. Davison (2022). Improved inference for risk measures of univariate extremes, Annals of Applied Statistics, 16(3), pp. 1524–1549. DOI: 10.1214/21-AOAS1555. Code
Léo R. Belzile, Christophe Dutang, Paul Northrop and Thomas Opitz (2023). A modeler's guide to extreme value software. Extremes, 26, pp. 595–638. DOI:10.1007/s10687-023-00475-9. Code.

Léo R. Belzile, Arnab Hazra, Rishikesh Yadav. An utopic adventure in the modelling of conditional univariate and multivariate extremes. Code
Léo R. Belzile, Alain Desgagné, Christian Genest and Frédéric Ouimet (2024). Normal approximations for the multivariate inverse Gaussian distribution and asymmetric kernel smoothing on d-dimensional half-spaces. Code.