Related papers: An Extremal Inequality for Long Markov Chains

We consider the distributed source coding system of $L$ correlated Gaussian sources $Y_i,i=1,2,...,L$ which are noisy observations of correlated Gaussian remote sources $X_k, k=1,2,...,K$. We assume that $Y^{L}={}^{\rm t}(Y_1,Y_2,$ $...,…

Let $S_N$ be the sum of vector-valued functions defined on a finite Markov chain. An analogue of the Bernstein--Hoeffding inequality is derived for the probability of large deviations of $S_N$ and relates the probability to the spectral gap…

A Markov tree is a probabilistic graphical model for a random vector indexed by the nodes of an undirected tree encoding conditional independence relations between variables. One possible limit distribution of partial maxima of samples from…

Joint models are well suited to modelling linked data from laboratories and health registers. However, there are few examples of joint models that allow for (a) multiple markers, (b) multiple survival outcomes (including terminal events,…

We consider the asymmetric multilevel diversity (A-MLD) coding problem, where a set of $2^K-1$ information sources, ordered in a decreasing level of importance, is encoded into $K$ messages (or descriptions). There are $2^K-1$ decoders,…

The problem of graphical model selection is to correctly estimate the graph structure of a Markov random field given samples from the underlying distribution. We analyze the information-theoretic limitations of the problem of graph…

We construct a four-parameter family of Markov processes on infinite Gelfand-Tsetlin schemes that preserve the class of central (Gibbs) measures. Any process in the family induces a Feller Markov process on the infinite-dimensional boundary…

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…

This paper establishes an upper bound for the Kolmogorov distance between the maximum of a high-dimensional vector of smooth Wiener functionals and the maximum of a Gaussian random vector. As a special case, we show that the maximum of…

Consider longitudinal networks whose edges turn on and off according to a discrete-time Markov chain with exponential-family transition probabilities. We characterize when their joint distributions are also exponential families with the…

Let $\{X_i(t),t\ge0\}, 1\le i\le n$ be mutually independent centered Gaussian processes with almost surely continuous sample paths. We derive the exact asymptotics of $$ P\left(\exists_{t \in [0,T]} \forall_{i=1 ... n} X_i(t)> u \right) $$…

Under general multivariate regular variation conditions, the extreme Value-at-Risk of a portfolio can be expressed as an integral of a known kernel with respect to a generally unknown spectral measure supported on the unit simplex. The…

Global variational approximation methods in graphical models allow efficient approximate inference of complex posterior distributions by using a simpler model. The choice of the approximating model determines a tradeoff between the…

We show the variational convergence of an irreversible Markov jump process describing a finite stochastic particle system to the solution of a countable infinite system of deterministic time-inhomogeneous quadratic differential equations…

In this article, we obtain a super-exponential rate of convergence in total variation between the traces of the first $m$ powers of an $n\times n$ random unitary matrices and a $2m$-dimensional Gaussian random variable. This generalizes…

A theory of systems with long-range correlations based on the consideration of binary N-step Markov chains is developed. In our model, the conditional probability that the i-th symbol in the chain equals zero (or unity) is a linear function…

This paper studies the estimation of low-rank Markov chains from empirical trajectories. We propose a non-convex estimator based on rank-constrained likelihood maximization. Statistical upper bounds are provided for the Kullback-Leiber…

Markov Chains with variable length are useful stochastic models for data compression that avoid the curse of dimensionality faced by that full Markov Chains. In this paper we introduce a Variable Length Markov Chain whose transition…

Max-linear Bayesian networks have emerged as highly applicable models for causal inference via extreme value data. However, conditional independence (CI) for max-linear Bayesian networks behaves differently than for classical Gaussian…

The problem of computing a linear combination of sources over a multiple access channel is studied. Inner and outer bounds on the optimal tradeoff between the communication rates are established when encoding is restricted to random…