Related papers: Some Refinements of Large Deviation Tail Probabili…
In this paper we develop a novel inferential approach based on geometric records for estimating the tail index of heavy-tailed distributions. We construct a maximum likelihood estimator for the Pareto model and establish its strong…
Large deviations for sums of i.i.d.\ random variables with stretched-exponential tails (also called Weibull or semi-exponential tails) have been well understood since the 60's, going back to Nagaev's seminal work. Many extensions in the…
This article is devoted to the study of tail index estimation based on i.i.d. multivariate observations, drawn from a standard heavy-tailed distribution, i.e. of which 1-d Pareto-like marginals share the same tail index. A multivariate…
Graphs with large spectral gap are important in various fields such as biology, sociology and computer science. In designing such graphs, an important question is how the probability of graphs with large spectral gap behaves. A method based…
Estimating the tail index parameter is one of the primal objectives in extreme value theory. For heavy-tailed distributions the Hill estimator is the most popular way to estimate the tail index parameter. Improving the Hill estimator was…
We obtain first decay rates of probabilities of tails of multivariate polynomials built on independent random variables with heavy tails. Then we derive stable limit theorems for nonconventional sums of the form $\sum_{Nt\geq n\geq…
In this paper we consider the problem of computing tail probabilities of the distribution of a random sum of positive random variables. We assume that the individual variables follow a reproducible natural exponential family (NEF)…
The probability distribution of percolation thresholds in finite lattices were first believed to follow a normal Gaussian behaviour. With increasing computer power and more efficient simulational techniques, this belief turned to a…
A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank delimits the tails of a distribution. We propose a new method…
We estimate up to universal constants tails of symmetric and totally asymmetric 1-dimensional $\alpha$-stable distributions in terms of functions of the parameters of these distributions. In particular, for values of $\alpha$ close to $2$…
We obtain a number of new general properties, related to the closedness of the class of long-tailed distributions under convolutions, that are of interest themselves and may be applied in many models that deal with "plus" and/or "max"…
A scan statistic is examined for the purpose of testing the existence of a global peak in a random process with dependent variables of any distribution. The scan statistic tail probability is obtained based on the covariance of the moving…
In this paper we present various new inequalities for tail proabilities for distributions that are elements of the most improtant exponential families. These families include the Poisson distributions, the Gamma distributions, the binomial…
We respond to Tetlock et al. (2022) showing 1) how expert judgment fails to reflect tail risk, 2) the lack of compatibility between forecasting tournaments and tail risk assessment methods (such as extreme value theory). More importantly,…
In astronomical observations, the estimation of distances from parallaxes is a challenging task due to the inherent measurement errors and the non-linear relationship between the parallax and the distance. This study leverages ideas from…
The most popular approach in extreme value statistics is the modelling of threshold exceedances using the asymptotically motivated generalised Pareto distribution. This approach involves the selection of a high threshold above which the…
We construct a new tail bound for the sum of independent random variables for situations in which the expected value of the sum is known and each random variable lies within a specified interval, which may be different for each variable.…
In this paper we revisited the classical problem of max-sum equivalence of randomly weighted sums in two dimensions. In opposite to the most papers in literature, we consider that there exists some interdependence between the primary random…
In risk management, tail risks are of crucial importance. The assessment of risks should be carried out in accordance with the regulatory authority's requirement at high quantiles. In general, the underlying distribution function is…
Loynes' distribution, which characterizes the one dimensional marginal of the stationary solution to Lindley's recursion, possesses an ultimately exponential tail for a large class of increment processes. If one can observe increments but…