Sebastian Engelke

Associate Professor of Statistics
Research Center for Statistics, University of Geneva
Boulevard du Pont d’Arve 40
1205 Geneva

Memberships and Responsibilities


  • March 2023: I am honored to be invited to give the Gumbel lecture at the German Statistical Week 2023
  • March 2023: Our paper "Total positivity in multivariate extremes" (with F. Röttger and P. Zwiernik) (arxiv) has been accepted in the Annals of Statistics.
  • December 2022: Our paper "Rare-event simulation without variance reduction: an extreme value theory approach" (with Yuanlu Bai and Henry Lam) won the WSC PhD Colloquium INFORMS I-SIM Award 2022 at the IEEE Winter Simulation Conference. Congratulations Yuanlu!
  • November 2022: New paper on "Graphical models for infinite measures with applications to extremes and Lévy processes" (with J. Ivanovs and K. Strokorb) on arxiv.
  • November 2022: Update of the R package graphicalExtremes on CRAN. Now contains methods from recent papers on estimation and structure learning of extremal graphical models, and new data sets!
  • October 2022: New paper on "Statistical inference for Hüsler-Reiss graphical models through matrix completions" (with M. Hentschel and J. Segers) on arxiv.
  • October 2020: Gloria Buriticá is starting as postdoc within my SNSF Eccellenza grant. Welcome!
  • August 2022: Our paper on "Structure learning for extremal tree models" (with S. Volgushev) (arxiv) is accepted in the JRSSB.
  • We are organizing a CUSO/EPFL/ETHZ PhD school on "Statistical Machine Learning" from September 4-7, 2022, with speakers Gitta Kutyniok, Aaditya Ramdas, Johannes Schmidt-Hieber and Bin Yu MLSTATS2022.
  • August 2022: New paper on "Neural networks for extreme quantile regression with an application to forecasting of flood risk" (with O. Pasche) on arxiv.
  • June 2022: New paper on "Learning extremal graphical structures in high dimensions" (with M. Lalancette and S. Volgushev) on arxiv.
  • May 2022: Our paper on "Modeling panels of extremes" (with D. Dupuis and L. Trapin) (arxiv) is accepted in the Annals of Applied Statistics.
  • January 2022: New paper on "Extremal random forests" (with N. Gnecco and E.M. Terefe) on arxiv.
  • December 2021: New paper on "Total positivity in multivariate extremes" (with F. Röttger and P. Zwiernik) on arxiv.
  • October 2021: New paper on "Estimation and Inference of Extremal Quantile Treatment Effects for Heavy-Tailed Distributions" (with D. Deuber, J. Li, M. Maathuis) on arxiv.
  • October 2021: New paper on "Modelling and simulating spatial extremes by combining extreme value theory with generative adversarial networks" (with Y. Boulaguiem, J, Zscheischler, E. Vignotto, K. van der Wiel) on arxiv.
  • September 2021: Very honored to receive the Lambert Award 2021 of the Swiss Statistical Society.
  • September 2021: I am now Associate Professor at the Research Center of Statistics at University of Geneva !
  • June 2021: New paper on "Distributionally robust tail bounds based on Wasserstein distance and f-divergence" (with C. Birhila and M. Aigner) on arxiv.
  • March 2021: New paper on "Gradient boosting for extreme quantile regression" (with J. Velthoen, C. Dombry, J.-J. Cai) on arxiv.
  • January 2021: I am happy to join the Editorial Panel of JRSSB.
  • December 2020: Our paper on "Rank-based Estimation under Asymptotic Dependence and Independence" (with M. Lalancette and S. Volgushev) has been accepted in the Annals of Statistics.
  • December 2020: New paper on "Structure learning for extremal tree models" (with S. Volgushev) on arxiv.
  • November 2020: Seminar talk at Columbia University, New York (virtual).
  • October 2020: Simon Chatelain, Frank Röttger and Olivier Pasche are starting within my SNSF Eccellenza grant.
  • September 2020: Our paper on "Causal discovery in heavy-tailed models" (with N. Gnecco, N. Meinshausen and J. Peters) has been accepted in the Annals of Statistics.
  • September 2020: We are organizing a virtual Statistical Learning Workshop on September 18, 2020; program and registration on the website.
  • September 2020: My PhD student Edossa Merga is visiting for 8 months from Hawassa University, Ethiopia. Funding from the Green Leaves Education Foundation is gratefully acknowledged.
  • June 2020: Our JRSSB discussion paper “Graphical models for extremes” is now published. Thanks to all the contributors to the discussion!
  • June 2020: New paper on "Evaluating the dependence structure of compound precipitation and wind speed extremes" (with J. Zscheischler, P. Naveau, O. Martius and C. Raible) at Earth System Dynamics.
  • May 2020: Review paper on "Sparse Structures for Multivariate Extremes" (with J. Ivanovs) on arxiv, to appear in Annual Review of Statistics and Its Application.
  • February 2020: Presenting our paper “Graphical models for extremes” (with A. Hitz) at the Royal Statistical Society discussion meeting in London, UK.
  • December 2019: Sebastian is awarded an Eccellenza grant with the title "Graph structures, sparsity and high-dimensional inference for extremes" by the Swiss National Science Foundation.
  • December 2019: Sebastian has been elected as member of the ISI.
  • November 2019: The graphicalExtremes package is now on CRAN and .
  • October 2019: Seminar talks at UQA Montreal, University of Waterloo, University of Guelph, University of Alberta and Environment and Climate Change Canada.
  • October 2019: Plenary speaker at Climate Informatics Conference in Paris.
  • September 2019: Lecturing at Training School on Statistical Modelling of Compound Events in Lake Como.
  • September 2019: Three-month stay at The Fields Institute for Research in Mathematical Sciences in Toronto as a Fields Research Fellow.

Short Bio

Sebastian is associate professor at the Research Center for Statistics at the University of Geneva, where is holding an Eccellenza grant. He was visiting professor at the Department of Statistical Sciences at the University of Toronto from 2018 – 2019. Previously he was an Ambizione fellow at EPF Lausanne with Anthony Davison. Sebastian did his studies in Mathematics at University of Göttingen and UC Berkeley, and he finished his PhD as a Deutsche Telekom Foundation fellow in 2013 at the University of Göttingen with Martin Schlather. His research interests are in extreme value theory, spatial statistics, graphical models and data science. Sebastian is Associate Editor of JRSSB and the journal Extremes.