Related papers: The extremogram: A correlogram for extreme events
We establish the asymptotic normality of the regression estimator in a fixed-design setting when the errors are given by a field of dependent random variables. The result applies to martingale-difference or strongly mixing random fields. On…
Motivated by the increasing availability of data of functional nature, we develop a general probabilistic and statistical framework for extremes of regularly varying random elements $X$ in $L^2[0,1]$. We place ourselves in a…
Max-stable processes are natural models for spatial extremes because they provide suitable asymptotic approximations to the distribution of maxima of random fields. In the recent past, several parametric families of stationary max-stable…
In a wide variety of situations, anomalies in the behaviour of a complex system, whose health is monitored through the observation of a random vector X = (X1,. .. , X d) valued in R d , correspond to the simultaneous occurrence of extreme…
Some problems of statistics can be reduced to extremal problems of minimizing functionals of smooth functions defined on the cube $[0,1]^m$, $m\geq 2$. In this paper, we study a class of extremal problems that is closely connected to the…
Extremes play a special role in Anomaly Detection. Beyond inference and simulation purposes, probabilistic tools borrowed from Extreme Value Theory (EVT), such as the angular measure, can also be used to design novel statistical learning…
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…
Electricity markets are significantly more volatile than other comparable financial or commodity markets. Extreme price outcomes and their transmission between regions pose significant risks for market participants. We examine the…
We prove that in many cases the existence of an extremal metric for some Laplace eigenvalue in a conformal class allows to find extremal metrics in conformal classes close by. As a consequence and as part of the arguments we obtain…
The paper considers the problem to estimate a graphical model corresponding to an autoregressive moving-average (ARMA) Gaussian stochastic process. We propose a new maximum entropy covariance and cepstral extension problem and we show that…
The Adaptive Multilevel Splitting algorithm is a very powerful and versatile iterative method to estimate the probability of rare events, based on an interacting particle systems. In an other article, in a so-called idealized setting, the…
The core of the classical block maxima method consists of fitting an extreme value distribution to a sample of maxima over blocks extracted from an underlying series. In asymptotic theory, it is usually postulated that the block maxima are…
Waves traveling through random media exhibit random focusing that leads to extremely high wave intensities even in the absence of nonlinearities. Although such extreme events are present in a wide variety of physical systems and the…
We derive in this article the asymptotic behavior as well as non-asymptotical estimates of tail of distribution for self-normalized sums of random variables (r.v.) under natural classical norming. We investigate also the case of…
We derive the second-order sampling properties of certain autocovariance and autocorrelation estimators for sequences of independent and identically distributed samples. Specifically, the estimators we consider are the classic lag windowed…
The eccentricity of a vertex is the maximum distance from it to another vertex and the average eccentricity $ecc (G)$ of a graph $G$ is the mean value of eccentricities of all vertices of $G$. The average eccentricity is deeply connected…
A geometric method is described to characterize the different kinds of extremals in optimal control theory. This comes from the use of a presymplectic constraint algorithm starting from the necessary conditions given by Pontryagin's Maximum…
For finite random systems, it is possible to define two types of variances (noises). It is demonstrated that their ratio is useful in calculating the correlation length of an infinite and rather general random system, as a function of…
Various events in the nature, economics and in other areas force us to combine the study of extremes with regression and other methods. A useful tool for reducing the role of nuisance regression, while we are interested in the shape or…
Extreme values and the tail behavior of probability distributions are essential for quantifying and mitigating risk in complex systems of all kinds. In multivariate settings, accounting for correlations is crucial. Although extreme value…