Related papers: Maximizing the expected range from dependent obser…

Let $X_1, \ldots, X_n$ be independent random points drawn from an absolutely continuous probability measure with density $f$ in $\mathbb{R}^d$. Under mild conditions on $f$, we derive a Poisson limit theorem for the number of large…

We develop novel empirical Bernstein inequalities for the variance of bounded random variables. Our inequalities hold under constant conditional variance and mean, without further assumptions like independence or identical distribution of…

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.…

For arbitrary two probability measures on real d-space with given means and variances (covariance matrices), we provide lower bounds for their total variation distance. In the one-dimensional case, a tight bound is given.

Estimating mutual information between continuous random variables is often intractable and extremely challenging for high-dimensional data. Recent progress has leveraged neural networks to optimize variational lower bounds on mutual…

It is shown that, for any given $p\ge5$, $A>0$ and $B>0$, the exact upper bound on $\mathsf{E}|\sum X_i|^p$ over all independent zero-mean random variables (r.v.'s) $X_1,\ldots,X_n$ such that $\sum\mathsf{E}X_i^2=B$ and…

Let $\{X_{\mathbf{n}} : \mathbf{n}\in\mathbb{Z}^d\}$ be a weakly dependent stationary field with maxima $M_{A} := \sup\{X_{\mathbf{i}} : \mathbf{i}\in A\}$ for finite $A\subset\mathbb{Z}^d$ and $M_{\mathbf{n}} := \sup\{X_{\mathbf{i}} :…

The bounds for absolute moments of order statistics are established. Let $X_1,\dots ,X_n$ be independent identically distributed real-valued random variables and let $X_{1:n}\le \dots \le X_{n:n}$ be the corresponding order statistics. The…

Let $C$ be a real-valued $M\times M$ matrix with singular values $\lambda_1\ge...\ge\lambda_M$ and $E$ a random matrix of centered i.i.d. entries with finite fourth moment. In this paper we give a universal upper bound on the expectation of…

We consider a one-dimensional recurrent random walk in random environment (RWRE) when the environment is i.i.d. with a parametric, finitely supported distribution. Based on a single observation of the path, we provide a maximum likelihood…

For many important problems the quantity of interest is an unknown function of the parameters, which is a random vector with known statistics. Since the dependence of the output on this random vector is unknown, the challenge is to identify…

We characterize the existence of the maximum likelihood estimator for discrete exponential families. Our criterion is simple to apply as we show in various settings, most notably for exponential models of random graphs. As an application,…

The method of maximum entropy is quite a powerful tool to solve the generalized moment problem, which consists of determining the probability density of a random variable X from the knowledge of the expected values of a few functions of the…

This article presents methods for estimating extreme probabilities, beyond the range of the observations. These methods are model-free and applicable to almost any sample size. They are grounded in order statistics theory and have a wide…

Let $\{X_n\}_n$ be a sequence of freely independent, identically distributed non-commutative random variables. Consider a sequence $\{W_n\}_n$ of the renormalized spectral maximum of random variables $X_1,\cdots, X_n$. It is known that the…

Let X_1,..., X_n be independent Bernoulli random variables and $f$ a function on {0,1}^n. In the well-known paper (Talagrand1994) Talagrand gave an upper bound for the variance of f in terms of the individual influences of the X_i's. This…

For a probability distribution $P$ on an at most countable alphabet $\mathcal A$, this article gives finite sample bounds for the expected occupancy counts $\mathbb E K_{n,r}$ and probabilities $\mathbb E M_{n,r}$. Both upper and lower…

We present a series of closed-form maximum entropy upper bounds for the differential entropy of a continuous univariate random variable and study the properties of that series. We then show how to use those generic bounds for upper bounding…

We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of 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…