Related papers: Effect of truncation on large deviations for heavy…
Modern risk modelling approaches deal with vectors of multiple components. The components could be, for example, returns of financial instruments or losses within an insurance portfolio concerning different lines of business. One of the…
The main purpose of this paper is to obtain strong laws of large numbers for arrays or weighted sums of random variables under a scenario of dependence. Namely, for triangular arrays $\{X_{n,k}, \, 1 \leqslant k \leqslant n, \, n \geqslant…
Power law-like size distributions are ubiquitous in astrophysical instabilities. There are at least four natural effects that cause deviations from ideal power law size distributions, which we model here in a generalized way: (1) a physical…
We consider moderately trimmed sums of non-negative i.i.d. random variables. We show that for every distribution function there exists a proper moderate trimming such that for the trimmed sum a non-trivial strong law of large numbers holds.…
In this paper, we consider the problem of linear regression with heavy-tailed distributions. Different from previous studies that use the squared loss to measure the performance, we choose the absolute loss, which is capable of estimating…
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are not only relatively likely, but they also occur in a rather peculiar way where a finite fraction of the whole sample deviation is concentrated…
Heavy-tailed random samples, as well as their sum or average, are encountered in a number of signal processing applications in radar, communications, finance, and natural sciences. Modeling such data through the Pareto distribution is…
In ranked-choice elections voters cast preference ballots which provide a voter's ranking of the candidates. The method of ranked-choice voting (RCV) chooses a winner by using voter preferences to simulate a series of runoff elections. Some…
We consider the probability that a weighted sum of $n$ i.i.d. random variables $X_j$, $j = 1, . . ., n$, with stretched exponential tails is larger than its expectation and determine the rate of its decay, under suitable conditions on the…
We study an inhomogeneous generalization of the classical corner growth in which the weights are exponentially distributed with random parameters. Our main interest is in the quenched and annealed large deviation properties of the last…
Strong gravitational lensing is a powerful tool to measure cosmological parameters and to study galaxy evolution mechanisms. However, quantitative strong lensing studies often require mock observations. To capture the full complexity of…
We identify the upper large deviation probability for the number of edges in scale-free geometric random graph models as the space volume goes to infinity. Our result covers the models of scale-free percolation, the Boolean model with…
A large deviations principle is established for the joint law of the empirical measure and the flow measure of a renewal Markov process on a finite graph. We do not assume any bound on the arrival times, allowing heavy tailed distributions.…
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its entries in the infinite-variance case and derive results for…
Regular variation is often used as the starting point for modeling multivariate heavy-tailed data. A random vector is regularly varying if and only if its radial part $R$ is regularly varying and is asymptotically independent of the angular…
We propose an approach to compute the conditional moments of fat-tailed phenomena that, only looking at data, could be mistakenly considered as having infinite mean. This type of problems manifests itself when a random variable Y has a…
In this paper we present an enhancement of the regression-based variance reduction approaches recently proposed in Belomestny et al. This enhancement is based on a truncation of the control variate and allows for a significant reduction of…
Taylor's law, also known as fluctuation scaling in physics and the power-law variance function in statistics, is an empirical pattern widely observed across fields including ecology, physics, finance, and epidemiology. It states that the…
Evolutionary games on graphs have been extensively studied. A variety of graph structures, graph dynamics, and behaviours of replicators have been explored. These models have primarily been studied in the framework of facilitation of…
Condensation phenomena are ubiquitous in nature and are found in condensed matter, disordered systems, networks, finance, etc. In the present work we investigate one of the best frameworks in which condensation phenomena take place, namely,…