Related papers: Dispersion Models for Extremes
A family of random matrix ensembles interpolating between the GUE and the Ginibre ensemble of $n\times n$ matrices with iid centered complex Gaussian entries is considered. The asymptotic spectral distribution in these models is uniform in…
Several distributions and families of distributions are proposed to model skewed data, think, e.g., of skew-normal and related distributions. Lambert W random variables offer an alternative approach where, instead of constructing a new…
Extreme value (EV) statistics of correlated systems are widely investigated in many fields, spanning the spectrum from weather forecasting to earthquake prediction. Does the unavoidable discrete sampling of a continuous correlated…
The Gumbel-Softmax probability distribution allows learning discrete tokens in generative learning, while the Gumbel-Argmax probability distribution is useful in learning discrete structures in discriminative learning. Despite the efforts…
We prove limit theorems of an entirely new type for certain long memory regularly varying stationary infinitely divisible random processes. These theorems involve multiple phase transitions governed by how long the memory is. Apart from one…
In this article, the exponentiated discrete Lindley distribution is presented and studied. Some important distributional properties are discussed. Using the maximum likelihood method, estimation of the model parameters is investigated.…
We propose a tractable semiparametric estimation method for structural dynamic discrete choice models. The distribution of additive utility shocks in the proposed framework is modeled by location-scale mixtures of extreme value…
In this paper we consider the linear regression model $Y =S X+\varepsilon $ with functional regressors and responses. We develop new inference tools to quantify deviations of the true slope $S$ from a hypothesized operator $S_0$ with…
Let $\{(X_i,Y_i)\}_{i\in \{1,..., n\}}$ be an i.i.d. sample from the random design regression model $Y=f(X)+\epsilon$ with $(X,Y)\in [0,1]\times [-M,M]$. In dealing with such a model, adaptation is naturally to be intended in terms of…
There is substantial empirical and climatological evidence that precipitation extremes have become more extreme during the twentieth century, and that this trend is likely to continue as global warming becomes more intense. However,…
We derive a systematic, multiple time-scale perturbation expansion for the work distribution in isothermal quasi-static Langevin processes. To first order we find a Gaussian distribution reproducing the result of Speck and Seifert [Phys.…
We study the approximation of $\mathbb{E}f(X_T)$ by a Monte Carlo algorithm, where $X$ is the solution of a stochastic differential equation and $f$ is a given function. We introduce a new variance reduction method, which can be viewed as a…
We introduce a family of quasisymmetric functions called {\em Eulerian quasisymmetric functions}, which have the property of specializing to enumerators for the joint distribution of the permutation statistics, major index and excedance…
The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection…
We consider families of fast-slow skew product maps of the form \begin{align*} x_{n+1} = x_n+\epsilon a(x_n,y_n,\epsilon), \quad y_{n+1} = T_\epsilon y_n, \end{align*} where $T_\epsilon$ is a family of nonuniformly expanding maps, and prove…
In this paper we present a novel approach towards variance reduction for discretised diffusion processes. The proposed approach involves specially constructed control variates and allows for a significant reduction in the variance for the…
In this paper, we introduce a new distribution generated by Lindley random variable which offers a more flexible model for modelling lifetime data. Various statistical properties like distribution function, survival function, moments,…
In single-antenna fluid antenna systems (FASs), the transceiver dynamically selects the antenna port with the strongest instantaneous channel to enhance link reliability. However, deriving accurate yet tractable performance expressions…
We consider the classical problem of learning, with arbitrary accuracy, the natural parameters of a $k$-parameter truncated \textit{minimal} exponential family from i.i.d. samples in a computationally and statistically efficient manner. We…
We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against incorrect model assumptions underlying the application of…