Related papers: Dispersion Models for Extremes
This paper studies a class of exponential family models whose canonical parameters are specified as linear functionals of an unknown infinite-dimensional slope function. The optimal minimax rates of convergence for slope function estimation…
This paper studies a class of exponential family models whose canonical parameters are specified as linear functionals of an unknown infinite-dimensional slope function. The optimal minimax rates of convergence for slope function estimation…
We consider three classes of linear differential equations on distribution functions, with a fractional order $\alpha\in [0,1].$ The integer case $\alpha =1$ corresponds to the three classical extreme families. In general, we show that…
In the classical theorems of extreme value theory the limits of suitably rescaled maxima of sequences of independent, identically distributed random variables are studied. So far, only affine rescalings have been considered. We show,…
We study the extreme value distribution of stochastic processes modeled by superstatistics. Classical extreme value theory asserts that (under mild asymptotic independence assumptions) only three possible limit distributions are possible,…
We consider the extreme value statistics of $N$ independent and identically distributed random variables, which is a classic problem in probability theory. When $N\to\infty$, fluctuations around the maximum of the variables are described by…
In their fundamental paper on cubic variance functions, Letac and Mora (The Annals of Statistics,1990) presented a systematic, rigorous and comprehensive study of natural exponential families on the real line, their characterization through…
We consider the Gumbel or extreme value statistics describing the distribution function p_G(x_max) of the maximum values of a random field x within patches of fixed size. We present, for smooth Gaussian random fields in two and three…
We show that generalised extreme value statistics -the statistics of the k-th largest value among a large set of random variables- can be mapped onto a problem of random sums. This allows us to identify classes of non-identical and…
It has been shown that sufficiently well mixing dynamical systems with positive entropy have extreme value laws which in the limit converge to one of the three standard distributions known for i.i.d. processes, namely Gumbel, Fr\'echet and…
Extreme Value Theory plays an important role to provide approximation results for the extremes of a sequence of independent random variables when their distribution is unknown. An important one is given by the {generalised Pareto…
Extreme value theory has constructed asymptotic properties of the sample maximum. This study concerns probability distribution estimation of the sample maximum. The traditional approach is parametric fitting to the limiting distribution --…
We introduce a new five-parameter family of size distributions on the semi-finite interval $[x_0, \infty), x_0 \geqslant 0$, with two attractive features. First, it interpolates between power laws, such as the Pareto distribution, and power…
Gamma distributions, which contain the exponential as a special case, have a distinguished place in the representation of near-Poisson randomness for statistical processes; typically, they represent distributions of spacings between events…
We study the extremes for a class of a symmetric stable random fields with long range dependence. We prove functional extremal theorems both in the space of sup measures and in the space of cadlag functions of several variables. The limits…
Using the proposed by us thinning approach to describe extreme matrices, we find an explicit exponentiation formula linking classical extreme laws of Fr\'echet, Gumbel and Weibull given by Fisher-Tippet-Gnedenko classification and free…
We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…
We study analytically and numerically the extreme value distribution of observables defined along the temporal evolution of a dynamical system. The convergence to the Gumbel law of observable recurrences gives information on the fractal…
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…
Extreme value theory is part and parcel of any study of order statistics in one dimension. Our aim here is to consider such large sample theory for the maximum distance to the origin, and the related maximum "interpoint distance," in…