Related papers: Characterizing extremal coefficient functions and …
The set of infinite-dimensional, symmetric stable tail dependence functions associated with exchangeable max-stable sequences of random variables with unit Fr\'echet margins is shown to be a simplex. Except for a single element, the…
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the…
Our object of study is extremal functions which are defined by distance functions of convex bodies. These functions take values in the moduli spaces of algebraic and geometric objects associated with these ${\mathbb Z}$-modules (geometric…
With any max-stable random process $\eta$ on $\mathcal{X}=\mathbb{Z}^d$ or $\mathbb{R}^d$, we associate a random tessellation of the parameter space $\mathcal{X}$. The construction relies on the Poisson point process representation of the…
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…
This paper introduces max-characteristic functions (max-CFs), which are an offspring of multivariate extreme-value theory. A max-CF characterizes the distribution of a random vector in R^d , whose components are nonnegative and have finite…
We compute three-point correlation functions in the near-extremal, near-horizon region of a Kerr black hole, and compare to the corresponding finite-temperature conformal field theory correlators. For simplicity, we focus on scalar fields…
In this paper we analyze in detail a few questions related to the theory of functions with bounded $p$-Hessian-Schatten total variation, which are relevant in connection with the theory of inverse problems and machine learning. We prove an…
We consider multivariate stationary processes $(\boldsymbol{X}_t)$ satisfying a stochastic recurrence equation of the form $$ \boldsymbol{X}_t= \mathbb{ M}_t \boldsymbol{X}_{t-1} + \boldsymbol{Q}_t,$$ where $(\boldsymbol{Q}_t)$ are iid…
The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We discuss recent concepts of heavy-tailed time series,…
We introduce extremal affine surface areas in a functional setting. We show their main properties. Among them are linear invariance, isoperimetric inequalities and monotonicity properties. We establish a new duality formula, which shows…
This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the…
A geometric setup for constrained variational calculus is presented. The analysis deals with the study of the extremals of an action functional defined on piecewise differentiable curves, subject to differentiable, non-holonomic…
Let $\mathbf{X}(n) \in \mathbb{R}^d$ be a sequence of random vectors, where $n\in\mathbb{N}$ and $d = d(n)$. Under certain weakly dependence conditions, we prove that the distribution of the maximal component of $\mathbf{X}$ and the…
The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these…
Extremal functions for the $n$th coefficient in the Krzy\.z conjecture are atomic singular inner functions with at most $n$ atoms. This paper gives a lower bound on the number of atoms $N$ of the form $N\geq cn$, marking progress toward…
In this article, after recalling and discussing the conventional extremality, local extremality, stationarity and approximate stationarity properties of collections of sets and the corresponding (extended) extremal principle, we focus on…
Simultaneous occurrences of extreme events need not imply symmetric or reciprocal tail dependence. However, most existing measures of extremal dependence are inherently symmetric and hence often fail to capture directional influence in tail…
Extreme values and the tail behavior of probability distributions are essential for quantifying and mitigating risk in complex systems of all kinds. In multivariate settings, accounting for correlations is crucial. Although extreme value…
We define a number of natural (from geometric and combinatorial points of view) deformation spaces of valuations on finite graphs, and study functions over these deformation spaces. These functions include both direct metric invariants…