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Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these…
Recent work has suggested that in highly correlated systems, such as sandpiles, turbulent fluids, ignited trees in forest fires and magnetization in a ferromagnet close to a critical point, the probability distribution of a global quantity…
Let $\{X, X_n, n\geq 1\}$ be a sequence of independent identically distributed non-degenerate random variables. Put $S_0=0, S_n = \sum^n_{i=1} X_i$ and $V_n^2=\sum^n_{i=1} X_i^2, n\ge 1.$ A weak convergence theorem is established for the…
For a family $\mathcal{F}$ of graphs, let $ex(n,\mathcal{F})$ denote the maximum number of edges in an $n$-vertex graph which contains none of the members of $\mathcal{F}$ as a subgraph. A longstanding problem in extremal graph theory asks…
A random phenomenon may have two sources of random variation: an unstable identity and a set of external variation-generating factors. When only a single source is active, two mutually exclusive extreme scenarios may ensue that result in…
The univariate extreme value theory deals with the convergence in type of powers of elements of sequences of cumulative distribution functions on the real line when the power index gets infinite. In terms of convergence of random variables,…
A well-known discovery of Feige's is the following: Let $X_1, \ldots, X_n$ be nonnegative independent random variables, with $\mathbb{E}[X_i] \leq 1 \;\forall i$, and let $X = \sum_{i=1}^n X_i$. Then for any $n$, \[\Pr[X < \mathbb{E}[X] +…
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 give necessary and sufficient conditions for two sub-vectors of a random vector with a multivariate extreme value distribution, corresponding to the limit distribution of the maximum of a multidimensional stationary sequence with…
We study a new estimator for the tail index of a distribution in the Frechet domain of attraction that arises naturally by computing subsample maxima. This estimator is equivalent to taking a U-statistic over a Hill estimator with two order…
For a sequence $\{X_{n}, \, n \geqslant 1 \}$ of nonnegative random variables where $\max[\min(X_{n} - s,t),0]$, $t > s \geqslant 0$, satisfy a moment inequality, sufficient conditions are given under which $\sum_{k=1}^n (X_k - \mathbb{E}…
The problem of detecting a binding site -- a substring of DNA where transcription factors attach -- on a long DNA sequence requires the recognition of a small pattern in a large background. For short binding sites, the matching probability…
The present paper studies the limiting behavior of the average score of a sequentially selected group of items or individuals, the underlying distribution of which, $F$, belongs to the Gumbel domain of attraction of extreme value…
We propose some new results on the comparison of the minimum or maximum order statistic from a random number of non-identical random variables. Under the non-identical set-up, with certain conditions, we prove that random minimum (maximum)…
The subgraph number of a vertex in a graph is defined as the number of connected subgraphs containing that vertex. The graph and its vertex which correspond to the minimum subgraph number among all graphs on $n$ vertices and $k$ cut…
Consider the set of Borel probability measures on $\mathbf{R}^k$ and endow it with the topology of weak convergence. We show that the subset of all probability measures which belong to the domain of attraction of some multivariate extreme…
Equilibrium statistical physics is considered from the point of view of statistical estimation theory. This involves the notions of statistical model, of estimators, and of exponential family. A useful property of the latter is the…
We study a new family of random variables, that each arise as the distribution of the maximum or minimum of a random number $N$ of i.i.d.~random variables $X_1,X_2,\ldots,X_N$, each distributed as a variable $X$ with support on $[0,1]$. The…
We resolve a long-standing open question, about the existence of a constant-factor approximation algorithm for the average-case \textsc{Decision Tree} problem with uniform probability distribution over the hypotheses. We answer the question…
Pervasive cross-section dependence is increasingly recognized as a characteristic of economic data and the approximate factor model provides a useful framework for analysis. Assuming a strong factor structure where $\Lop\Lo/N^\alpha$ is…