Related papers: Extreme value statistics of smooth random Gaussian…
For a skew normal random sequence, convergence rates of the distribution of its partial maximum to the Gumbel extreme value distribution are derived. The asymptotic expansion of the distribution of the normalized maximum is given under an…
What is the size of the most massive object one expects to find in a survey of a given volume? In this paper, we present a solution to this problem using Extreme-Value Statistics, taking into account primordial non-Gaussianity and its…
Extreme value statistics (EVS) concerns the study of the statistics of the maximum or the minimum of a set of random variables. This is an important problem for any time-series and has applications in climate, finance, sports, all the way…
We consider the Gaussian free field on the torus whose covariance kernel is given by the zero-average Green's function. We show that for dimension $d\ge 3$, the extremal point process associated with this field converges weakly to a Poisson…
Let $X_1$, $X_2$,... be a sequence of independent random variables with common distribution function $F$ in the domain of attraction of a Gumbel extreme value distribution and for each integer $n\geq 1$, let $X_{1,n} \leq ... X_{n,n}$…
We study extreme values of group-indexed stable random fields for discrete groups $G$ acting geometrically on spaces $X$ in the following cases: 1) $G$ acts freely, properly discontinuously by isometries on a CAT(-1) space $X$, 2) $G$ is a…
We compute exact asymptotic results for the probability of the occurrence of large deviations of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary and symplectic ensembles. In particular, we…
We consider the extremal shot noise defined by $$M(y)=\sup\{mh(y-x);(x,m)\in\Phi\},$$ where $\Phi$ is a Poisson point process on $\bbR^d\times (0,+\infty)$ with intensity $\lambda dxG(dm)$ and $h:\bbR^d\to [0,+\infty]$ is a measurable…
In this paper non-asymptotic exact exponential estimates are derived for the tail of maximum distribution of random field in the terms of majoring measures or, equally, generic chaining.
An exact analytical description of extreme intensity statistics in complex random states is derived. These states have the statistical properties of the Gaussian and Circular Unitary Ensemble eigenstates of random matrix theory. Although…
In this paper, by using the exact tail asymptotics derived by Debicki, Hashorva and Ji (Ann. Probab. 2014), we proved the Gumbel limit theorem for the maximum of a class of non-homogeneous Gaussian random fields. By using the obtained…
Multivariate extreme value statistical analysis is concerned with observations on several variables which are thought to possess some degree of tail-dependence. In areas such as the modeling of financial and insurance risks, or as the…
We investigate extreme values of Mahonian and Eulerian distributions arising from counting inversions and descents of random elements of finite Coxeter groups. To this end, we construct a triangular array of either distribution from a…
Extreme value theory has constructed asymptotic properties of the sample maximum. This study concerns probability distribution estimation of the sample maximum. The traditional approach is parametric fitting to the limiting distribution --…
We find the exponential exact two-terms non-asymptotic expression for the maximum and minimum distribution of a non-Gaussian, in general case, random vector.
Let $\{X_i,i=1,2,...\}$ be i.i.d. standard gaussian variables. Let $S_n=X_1+...+X_n$ be the sequence of partial sums and $$ L_n=\max_{0\leq i<j\leq n}\frac{S_j-S_i}{\sqrt{j-i}}. $$ We show that the distribution of $L_n$, appropriately…
The Gumbel-Softmax probability distribution allows learning discrete tokens in generative learning, while the Gumbel-Argmax probability distribution is useful in learning discrete structures in discriminative learning. Despite the efforts…
In algebraic statistics, the maximum likelihood degree of a statistical model refers to the number of solutions (counted with multiplicity) of the score equations over the complex field. In this paper, the maximum likelihood degree of the…
We have obtained some upper bounds for the probability distribution of extremes of a self-similar Gaussian random field with stationary rectangular increments that are defined on the compact spaces. The probability distributions of extremes…
We establish sharp large-deviation asymptotic estimates for the maximum order statistic of i.i.d.\ standard normal random variables on all Borel subsets of the positive real line. This result yields more accurate tail approximations than…