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For a class of one-dimensional autoregressive processes $(X_n)$ we consider the tail behaviour of the stopping time $T_0=\min \lbrace n\geq 1: X_n\leq 0 \rbrace$. We discuss existing general analytical approaches to this and related…
We introduce a recursive algorithm of conveniently general form for estimating the coefficient of a moving average model of order one and obtain convergence results for both correct and misspecified MA(1) models. The algorithm encompasses…
We consider a new approach in the definition of two-dimensional heavy-tailed distributions. Namely, we introduce the classes of two-dimensional long-tailed, of twodimensional dominatedly varying and of two-dimensional consistently varying…
We study the continuity properties of trajectories for some random series of functions $\sum a\_kf(\alpha X\_k(\omega))$ where $a\_k$ is a complex sequence, $X\_k$ a sequence of real independent random variables, $f$ is a real valued…
This paper investigates the stability and convergence properties of asynchronous stochastic approximation (SA) algorithms, with a focus on extensions relevant to average-reward reinforcement learning. We first extend a stability proof…
Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme…
Heavy-tailed fluctuations and power law distributions pervade physics, biology, and the social sciences, with numerous mechanisms proposed for their emergence. Kesten processes, which are multiplicative stochastic recursions with additive…
The tail measure of a regularly varying stationary time series has been recently introduced. It is used in this contribution to reconsider certain properties of the tail process and establish new ones. A new formulation of the time change…
We establish a statistical learning theoretical framework aimed at extrapolation, or out-of-domain generalization, on the unobserved tails of covariates in continuous regression problems. Our strategy involves performing statistical…
Consider a family of random walks $S_n^{(a)}=X_1^{(a)}+\cdots+X_n^{(a)}$ with negative drift $\mathbf E X_1^{(a)}=-a<0$ and finite variance $\mbox{var}(X_1^{(a)})=\sigma^2<\infty$.Let $M^{(a)}=\max_{n\ge 0} S_n^{(a)}$ be the maximums of the…
This paper develops and estimates a multivariate affine GARCH(1,1) model with Normal Inverse Gaussian innovations that captures time-varying volatility, heavy tails, and dynamic correlation across asset returns. We generalize the…
Cyclic and randomized stepsizes are widely used in the deep learning practice and can often outperform standard stepsize choices such as constant stepsize in SGD. Despite their empirical success, not much is currently known about when and…
We establish large deviations properties valid for almost every sample path of a class of stationary mixing processes $(X_1,..., X_n,...)$. These properties are inherited from those of $S_n=\sum_{i=1}^nX_i$ and describe how the local…
In recent years, tensors have been applied to different applications in science and engineering fields. In order to establish theory about tail bounds of the tensors summation behavior, this work extends previous work by considering the…
Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory of risk measures and makes it possible to extend…
We consider real-valued random variables R satisfying the distributional equation R \eqdist \sum_{k=1}^{N}T_k R_k + Q, where R_1,R_2,... are iid copies of R and independent of T=(Q, (T_k)_{k \ge 1}). N is the number of nonzero weights T_k…
Handling multiplicity without losing much power has been a persistent challenge in various fields that often face the necessity of managing numerous statistical tests simultaneously. Recently, $p$-value combination methods based on…
The circular and Jacobi ensembles of random matrices have their eigenvalue support on the unit circle of the complex plane and the interval $(0,1)$ of the real line respectively. The averaged value of the modulus of the corresponding…
Let $(X_t)_{t = 0 }^{\infty}$ be an irreducible reversible discrete time Markov chain on a finite state space $\Omega $. Denote its transition matrix by $P$. To avoid periodicity issues (and thus ensuring convergence to equilibrium) one…
Multivariate Analysis (MVA) comprises a family of well-known methods for feature extraction that exploit correlations among input variables of the data representation. One important property that is enjoyed by most such methods is…