Related papers: The extremogram: A correlogram for extreme events
In this paper, we consider a stochastic system described by a differential equation admitting a spatially varying random coefficient. The differential equation has been employed to model various static physics systems such as elastic…
The modeling of dependence between maxima is an important subject in several applications in risk analysis. To this aim, the extreme value copula function, characterised via the madogram, can be used as a margin-free description of the…
The behavior of extreme observations is well-understood for time series or spatial data, but little is known if the data generating process is a structural causal model (SCM). We study the behavior of extremes in this model class, both for…
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…
I propose a new procedure to estimate the False Alarm Probability, the measure of significance for peaks of periodograms. The key element of the new procedure is the use of generalized extreme-value distributions, the limiting distribution…
We introduce a consistent estimator of the extreme value index under random truncation based on a single sample fraction of top observations from truncated and truncation data. We establish the asymptotic normality of the proposed estimator…
In the multivariate setting, estimates of extremal risk measures are important in many contexts, such as environmental planning and structural engineering. In this paper, we propose new estimation methods for extremal bivariate return…
In this paper, we analyze several instrumental records of temperatures at different locations by using new techniques originally developed for the analysis of extreme values of dynamical systems. We show that they have the same recurrence…
Simultaneous occurrences of extreme events need not imply symmetric or reciprocal tail dependence. However, most existing measures of extremal dependence are inherently symmetric and hence often fail to capture directional influence in tail…
The maximum correlation of functions of a pair of random variables is an important measure of stochastic dependence. It is known that this maximum nonlinear correlation is identical to the absolute value of the Pearson correlation for a…
We study the extremal processes through Feller semigroups theory from which it is possible to observe some parallelism with subordinators. Consequently, we observe that an extremal process possesses concepts analogous to those of Laplace…
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…
The paper considers high frequency sampled multivariate continuous-time ARMA (MCARMA) models, and derives the asymptotic behavior of the sample autocovariance function to a normal random matrix. Moreover, we obtain the asymptotic behavior…
Continuous Time Random Maxima (CTRM) are a generalization of classical extreme value theory: Instead of observing random events at regular intervals in time, the waiting times between the events are also random variables with arbitrary…
The paper presents a systematic theory for asymptotic inference of autocovariances of stationary processes. We consider nonparametric tests for serial correlations based on the maximum (or ${\cal L}^\infty$) and the quadratic (or ${\cal…
We prove optimal convergence estimates for eigenvalues and eigenvectors of a class of singular/stiff perturbed problems. Our profs are constructive in nature and use (elementary) techniques which are of current interest in computational…
The classical random matrix theory is mostly focused on asymptotic spectral properties of random matrices as their dimensions grow to infinity. At the same time many recent applications from convex geometry to functional analysis to…
In this work, we report the emergence of extreme events in a damped and driven velocity-dependent mechanical system. We observe that the extreme events emerge at multiple points. We further notice that the extreme events occur symmetrically…
Capturing the dependence structure of multivariate extreme events is a major concern in many fields involving the management of risks stemming from multiple sources, e.g. portfolio monitoring, insurance, environmental risk management and…
Recently, Chatterjee has introduced a new coefficient of correlation which has several natural properties. In particular, the coefficient attains its maximal value if and only if one variable is a measurable function of the other variable.…