Related papers: Characterizing extremal coefficient functions and …
The classical multivariate extreme-value theory concerns the modeling of extremes in a multivariate random sample, suggesting the use of max-stable distributions. In this work, the classical theory is extended to the case where aggregated…
The asymptotic results that underlie applications of extreme random fields often assume that the variables are located on a regular discrete grid, identified with $\mathbb{Z}^2$, and that they satisfy stationarity and isotropy conditions.…
Extreme values modeling has attracting the attention of researchers in diverse areas such as the environment, engineering, or finance. Multivariate extreme value distributions are particularly suitable to model the tails of multidimensional…
We study the correlation functions of Coulomb branch operators of four-dimensional $\mathcal{N} = 2$ Superconformal Field Theories (SCFTs). We focus on rank-one theories, such as the SU(2) gauge theory with four fundamental hypermultiplets.…
It is well-known that the expected scaled maximum of non-negative random variables with unit mean defines a stable tail dependence function associated with some extreme-value copula. In the special case when these random variables are…
The extremal characteristics of random structures, including trees, graphs, and networks, are discussed. A statistical physics approach is employed in which extremal properties are obtained through suitably defined rate equations. A variety…
Let $\{X(s,t):s,t\geqslant 0\}$ be a centered homogeneous Gaussian field with a.s. continuous sample paths and correlation function $r(s,t)=Cov(X(s,t),X(0,0))$ such that…
The maximum correlation of functions of a pair of random variables is an important measure of stochastic dependence. It is known that this maximum nonlinear correlation is identical to the absolute value of the Pearson correlation for a…
A network evolution with predicted tail and extremal indices of PageRank and the Max-Linear Model used as node influence indices in random graphs is considered. The tail index shows a heaviness of the distribution tail. The extremal index…
Max-stable random fields can be constructed according to Schlather (2002) with a random function or a stationary process and a kind of random event magnitude. These are applied for the modelling of natural hazards. We simply extend these…
We consider a model of the Riemann zeta function on the critical axis and study its maximum over intervals of length $(\log T)^{\theta}$, where $\theta$ is either fixed or tends to zero at a suitable rate. It is shown that the deterministic…
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable for studying spatial extremes. Spatial…
Understanding dependence structure among extreme values plays an important role in risk assessment in environmental studies. In this work we propose the $\chi$ network and the annual extremal network for exploring the extremal dependence…
A bivariate random vector can exhibit either asymptotic independence or dependence between the largest values of its components. When used as a statistical model for risk assessment in fields such as finance, insurance or meteorology, it is…
The extremal index $\theta$, a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate $\theta$ semiparametrically, using the relationship between the…
We consider the set of extremal points of the generalized unit ball induced by gradient total variation seminorms for vector-valued functions on bounded Euclidean domains. These are central to the understanding of sparse solutions and…
We derive exact asymptotics of $$\mathbb{P}\left(\sup_{\mathbf{t}\in {\mathcal{A}}}X(\mathbf{t})>u\right),~ \text{as}~ u\to\infty,$$ for a centered Gaussian field $X(\mathbf{t}),~ \mathbf{t}\in \mathcal{A}\subset\mathbb{R}^n$, $n>1$ with…
The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures…
We introduce the extremal range, a local statistic for studying the spatial extent of extreme events in random fields on $\mathbb{R}^d$. Conditioned on exceedance of a high threshold at a location $s$, the extremal range at $s$ is the…
We consider a stationary stochastic volatility field $Y_vZ_v$ with $v\in\mathbb{Z}^d$, where $Z$ is regularly varying and $Y$ has lighter tails and is independent of $Z$. We make - relative to existing literature - very general assumptions…