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.

R packages

The repositories on Github contain code for the R packages that I (co-)authored 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
• mvPot - Multivariate Peaks-over-Threshold Modelling for Spatial Extreme Events
• ksm - Kernel smoothing for positive definite matrices

or those which I did not author, but for 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)

Code for my papers

Published

1. 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
2. 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
3. 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
4. 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
5. 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
6. 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.
7. Léo R. Belzile, Arnab Hazra, Rishikesh Yadav. An utopic adventure in the modelling of conditional univariate and multivariate extremes. Extremes (2024). DOI:10.1007/s10687-024-00493-1. Code.
8. Léo R. Belzile, Alain Desgagné, Christian Genest and Frédéric Ouimet (2025). Normal approximations for the multivariate inverse Gaussian distribution and asymmetric kernel smoothing on d-dimensional half-spaces. Electronic Journal of Statistics, 19, pp. 1–54. DOI:10.1214/25-EJS2407. Code.
9. Léo R. Belzile (2025). longevity: An R Package for Modelling Excess Lifetimes. R Journal, 17(4), pp. 37–58. DOI:10.32614/RJ-2025-034. Code.

Preprints

1. Léo R. Belzile and Johanna G. Nešlehová (2025). Statistics of extremes for incomplete data, with application to lifetime and liability claim modeling. In Handbook of Statistics of Extremes, Editors: M. de Carvalho, R. Huser, P. Naveau, B. Reich, CRC Press, 2025+. Code
2. Léo R. Belzile, Christian Genest, Frédéric Ouimet, Donald Richards (2025+). Wishart kernel density estimation for strongly mixing time series on the cone of positive definite matrices, Code.
3. Léo R. Belzile and Anthony C. Davison. How long should a block be? (2026+). Code
4. Léo R. Belzile and Anthony C. Davison. Choosing the threshold in extreme value analysis (2026+). Code

Course webpages

• MATH 80667A Experimental Design and Statistical Methods [code]
• MATH 80601A Bayesian Modelling [code]
• MATH 60604A Statistical Modelling [code]
• MATH 60604 Modélisation statistique [code]
• MATH 60602 Analyse multidimensionnelle appliquée [code]
• Tutorial on Statistical Computing on Extremes with R, EVA 2023 [code]

Course notes

• MATH 80601A Bayesian modelling [code]
• MATH 80667A Experimental Design and Statistical Methods [code]
• MATH 60604 Modélisation statistique [code]
• MATH 60604A Statistical Modelling [code]
• MATH 60602 Analyse multidimensionnelle appliquée [code]
• MATH 341 Linear Models (EPFL) [code]
• MATH 342 Time Series (EPFL) [code]
• Notes on the texmex package, EVA 2021 [code]

R packages for course material

• MATH 60602 hecmulti
• MATH 80667A hecedsm
• MATH 60604A hecstatmod
• MATH 60604 hecmodstat
• MATH 80601A hecbayes