Related papers: The realization problem for tail correlation funct…
We take an $L_1$-dense class of functions $\Cal F$ on a measurable space $(X,\Cal X)$ and a sequence of i.i.d. $X$-valued random variables $\xi_1,\dots,\xi_n$, and give a good estimate on the tail behaviour of $\sup\limits_{f\in\Cal…
In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the…
We present a new statistical tool, called the triangle correlation function (TCF), inspired by the earlier work of Obreschkow et al. It is derived from the three-point correlation function and aims to probe the characteristic scale of…
The Theory of Functional Connections (TFC) is a general methodology for functional interpolation that can embed a set of user-specified linear constraints. The functionals derived from this method, called \emph{constrained expressions},…
The maximally-decoupled method has been considered as a theory to apply an basic idea of an integrability condition to certain multiple parametrized symmetries. The method is regarded as a mathematical tool to describe a symmetry of a…
We develop an efficient simulation algorithm for computing the tail probabilities of the infinite series $S = \sum_{n \geq 1} a_n X_n$ when random variables $X_n$ are heavy-tailed. As $S$ is the sum of infinitely many random variables, any…
Consider two independent Poisson point processes of unit intensity in the Euclidean space of dimension $d$ at least 3. We construct a perfect matching between the two point sets that is a factor (i.e., an equivariant measurable function of…
We propose a novel extremal dependence measure called the partial tail-correlation coefficient (PTCC), in analogy to the partial correlation coefficient in classical multivariate analysis. The construction of our new coefficient is based on…
The analysis of extremal dependence in high dimensions has recently attracted considerable interest. Existing methodology primarily focuses on modeling and estimation of extremal dependence structures, often supported by concentration…
Tail dependence plays an essential role in the characterization of joint extreme events in multivariate data. However, most standard tail dependence parameters assume continuous margins. This note presents a form of tail dependence suitable…
Let $X(t),t\in R^d$ be a centered Gaussian random field with continuous trajectories and set $\xi_u(t)= X(f(u)t),t\in R^d$ with $f$ some positive function. Classical results establish the tail asymptotics of $P\{ \Gamma(\xi_u) > u\}$ as…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
Tail dependence refers to clustering of extreme events. In the context of financial risk management, the clustering of high-severity risks has a devastating effect on the well-being of firms and is thus of pivotal importance in risk…
The t copula is often used in risk management as it allows for modelling tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often criticized due to its restriction of having…
Unified description on the long-time tail of velocity autocorrelation function and the long-range correlation for the equal-time spatial correlation functions is developed based on the generalized fluctuating hydrodynamics. The cross-over…
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…
The goal of this paper is to investigate the tools of extreme value theory originally introduced for discrete time stationary stochastic processes (time series), namely the tail process and the tail measure, in the framework of continuous…
Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices…
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…
In this paper we present the concept of description of random processes in complex systems with the discrete time. It involves the description of kinetics of discrete processes by means of the chain of finite-difference non-Markov equations…