Related papers: On the multivariate upcrossings index

Let $X=\{X_t: t\ge 0\}$ be a stationary piecewise continuous $\R^d$-valued process that moves between jumps along the integral curves of a given continuous vector field, and let $S\subset\R^d$ be a smooth surface. The aim of this paper is…

An integer-valued fixed point index for compositions of acyclic multivalued maps is constructed. This integer-valued fixed point index has the properties: additivity, homotoy invariance, normalization, commutativity, multiplicativity. The…

A classical statistical inequality is used to show that the distance covariance of two bounded random vectors is bounded from above by a simple function of the dimensionality and the bounds of the random vectors. Two special cases that…

Queueing networks are systems of theoretical interest that find widespread use in the performance evaluation of interconnected resources. In comparison to counterpart models in genetics or mathematical biology, the stochastic (jump)…

We describe a new method that is both physically explicable and quantitatively accurate in describing the multifractal characteristics of intermittent events based on groupings of rank-ordered fluctuations. The generic nature of such…

Let $\mathbf{X}=\{X_{n}\}_{n\geq 1}$ be a sequence of stationary Gaussian variables and suppose that only some of the random variables from $\mathbf{X}$ can be observed. In this paper, by studying the limiting properties of multidimensional…

In this paper we improve some existing results concerning the approximation of the distribution of extremes of a 1-dependent and stationary sequence of random variables. We enlarge the range of applicability and improve the approximation…

Let $\{X(\mathbf{t}):\mathbf{t}=(t_1, t_2, \ldots, t_d)\in[0,\infty)^d\}$ be a centered stationary Gaussian field with almost surely continuous sample paths, unit variance and correlation function $r$ satisfying conditions $r(\mathbf{t})<1$…

We analyze the asymptotic behavior of sequences of random variables defined by an initial condition, a stationary and ergodic sequence of random matrices, and an induction formula involving multiplication is the so-called max-plus algebra.…

We obtain a sharp convergence rate for banded covariance matrix estimates of stationary processes. A precise order of magnitude is derived for spectral radius of sample covariance matrices. We also consider a thresholded covariance matrix…

One of the main topics of extreme value analysis is to estimate the extreme value index, an important parameter that controls the tail behavior of the distribution. In many cases, estimating the extreme value index of the target variable…

It is well known that an extreme order statistic and a central order statistic (os) as well as an intermediate os and a central os from a sample of iid univariate random variables get asymptotically independent as the sample size increases.…

Cluster indices describe extremal behaviour of stationary time series. We consider their sliding blocks estimators. Using a modern theory of multivariate, regularly varying time series, we obtain central limit theorems under conditions that…

We extend the results given by Colbois, Dryden and El Soufi on the relationships between the eigenvalues of the Laplacian and an extrinsic invariant called intersection index, in two directions. First, we replace this intersection index by…

The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure…

Here we develop a first order autoregressive model {Xn} that is marginally stationary where Xn is the sum/ extreme of k i.i.d observations. We prove that stationary solutions to these models are either semi-selfdecomposable/…

This paper reviews and extends some recent results on the multivariate fractional Brownian motion (mfBm) and its increment process. A characterization of the mfBm through its covariance function is obtained. Similarly, the correlation and…

High-dimensional multivariate time series are common in many scientific and industrial applications, where the interest lies in identifying key dependence structure within the data for subsequent analysis tasks, such as forecasting. An…

The partial sum of the states of a Markov chain or more generally a Markov source is asymptotically normally distributed under suitable conditions. One of these conditions is that the variance is unbounded. A simple combinatorial…

We study continuous-time Markov chains on the non-negative integers under mild regularity conditions (in particular, the set of jump vectors is finite and both forward and backward jumps are possible). Based on the so-called flux balance…