Related papers: Maxima of moving maxima of continuous functions
Markov models are widely used to describe processes of stochastic dynamics. Here, we show that Markov models are a natural consequence of the dynamical principle of Maximum Caliber. First, we show that when there are different possible…
Continuous-time Markov chains (CTMCs) are popular modeling formalism that constitutes the underlying semantics for real-time probabilistic systems such as queuing networks, stochastic process algebras, and calculi for systems biology. Prism…
For linear processes with independent identically distributed innovations that are regularly varying with tail index $\alpha \in (0, 2)$, we study functional convergence of the joint partial sum and partial maxima processes. We derive a…
Suppose $(f,\mathcal{X},\mu)$ is a measure preserving dynamical system and $\phi \colon \mathcal{X} \to \mathbb{R}$ a measurable function. Consider the maximum process $M_n:=\max\{X_1 \ldots,X_n\}$, where $X_i=\phi\circ f^{i-1}$ is a time…
We investigate long and short memory in $\alpha$-stable moving averages and max-stable processes with $\alpha$-Fr\'echet marginal distributions. As these processes are heavy-tailed, we rely on the notion of long range dependence suggested…
The investigation of optimal processes has a long history in the field of thermodynamics. It is well known that finite-time processes that minimize dissipation often exhibit discontinuities. We use a combination of numerical and analytical…
The maximum function, on vectors of real numbers, is not differentiable. Consequently, several differentiable approximations of this function are popular substitutes. We survey three smooth functions which approximate the maximum function…
This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the…
This work defines two classes of processes, that we term {\it tempered fractional multistable motion} and {\it tempered multifractional stable motion}. They are extensions of fractional multistable motion and multifractional stable motion,…
Peak estimation bounds extreme values of a function of state along trajectories of a dynamical system. This paper focuses on extending peak estimation to continuous and discrete settings with time-independent and time-dependent uncertainty.…
Environmental data science for spatial extremes has traditionally relied heavily on max-stable processes. Even though the popularity of these models has perhaps peaked with statisticians, they are still perceived and considered as the…
Aulbach et al. (2013) introduced a max-domain of attraction approach for extreme value theory in C[0,1] based on functional distribution functions, which is more general than the approach based on weak convergence in de Haan and Lin (2001).…
Max-autogressive moving average (Max-ARMA) processes are powerful tools for modelling time series data with heavy-tailed behaviour; these are a non-linear version of the popular autoregressive moving average models. River flow data…
The fractional stable motion is a prototypical stochastic process exhibiting both heavy tails and long-range dependence, parameterized via a stability index $\alpha$ and a Hurst exponent $H$. We consider a nonstationary extension where the…
For a strictly stationary sequence of random variables we derive functional convergence of the joint partial sum and partial maxima process under joint regular variation with index $\alpha \in (0,2)$ and weak dependence conditions. The…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
Scientific explanation often requires inferring maximally predictive features from a given data set. Unfortunately, the collection of minimal maximally predictive features for most stochastic processes is uncountably infinite. In such…
In this paper we consider the distribution of the location of the path supremum in a fixed interval for self-similar processes with stationary increments. To this end, a point process is constructed and its relation to the distribution of…
We study mass-transport models with multiple-chipping processes. The rates of these processes are dependent on the chip size and mass of the fragmenting site. In this context, we consider k-chip moves (where k = 1, 2, 3, ....); and…
A time-optimal problem for redundantly actuated robots moving on a specified path is a challenging problem. Although the problem is well explored and there are proposed solutions based on phase plane analysis, there are still several…