Related papers: When are Extreme Events the better predictable, th…
Regular variation provides a convenient theoretical framework to study large events. In the multivariate setting, the dependence structure of the positive extremes is characterized by a measure - the spectral measure - defined on the…
The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some…
For two independent, almost surely finite random variables, independence of their minimum (time) and the event that one of them is either greater, equal or less than the other (cause) is completely characterized. It is shown that, other…
The forecasting of high-dimensional, spatiotemporal nonlinear systems has made tremendous progress with the advent of model-free machine learning techniques. However, in real systems it is not always possible to have all the information…
In this work, we consider systems that are subjected to intermittent instabilities due to external stochastic excitation. These intermittent instabilities, though rare, have a large impact on the probabilistic response of the system and…
Very little attention has been paid to the comparison of efficiency between high accuracy statistical parsers. This paper proposes one machine-independent metric that is general enough to allow comparisons across very different parsing…
We examine rules for predicting whether a point in $\mathbb{R}$ generated from a 50-50 mixture of two different probability distributions came from one distribution or the other, given limited (or no) information on the two distributions,…
In counting experiments, one can set an upper limit on the rate of a Poisson process based on a count of the number of events observed due to the process. In some experiments, one makes several counts of the number of events, using…
In ergodic physical systems, time-averaged quantities converge (for large times) to their ensemble-averaged values. Large deviation theory describes rare events where these time averages differ significantly from the corresponding ensemble…
Traditionally, Probability theory was dealing with limit theorems where 'limit" means that time tends to infinity. Questions about finite time dynamics (evolution) were always considered as, although important for practical applications,…
Recent innovations in diffusion probabilistic models have paved the way for significant progress in image, text and audio generation, leading to their applications in generative time series forecasting. However, leveraging such abilities to…
We study the rare event behavior of the workload process in a transitory queue, where the arrival epochs (or points) of a finite number of jobs are assumed to be the ordered statistics of independent and identically distributed (i.i.d.)…
Temporal sequences of discrete events that describe natural and social processes are often driven by non-Poisson dynamics. In addition to a heavy-tailed interevent time distribution, which primarily captures the deviation from a Poisson…
Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes.…
In this chapter, we show how to efficiently model high-dimensional extreme peaks-over-threshold events over space in complex non-stationary settings, using extended latent Gaussian Models (LGMs), and how to exploit the fitted model in…
We develop an efficient numerical method for the probabilistic quantification of the response statistics of nonlinear multi-degree-of-freedom structural systems under extreme forcing events, emphasizing accurate heavy-tail statistics. The…
Quantities with right-skewed distributions are ubiquitous in complex social systems, including political conflict, economics and social networks, and these systems sometimes produce extremely large events. For instance, the 9/11 terrorist…
A multicomponent random process used as a model for the problem of space-time earthquake prediction; this allows us to develop consistent estimation for conditional probabilities of large earthquakes if the values of the predictor…
We consider event-driven clinical trials, where the analysis is performed once a pre-determined number of clinical events has been reached. For example, these events could be progression in oncology or a stroke in cardiovascular trials. At…
Wind power ramp events are difficult to forecast due to strong variability, multi-scale dynamics, and site-specific meteorological effects. This paper proposes an event-first, frequency-aware forecasting paradigm that directly predicts ramp…