Related papers: Extreme Value Laws for Superstatistics
The extremal Fourier intensities are studied for stationary Edwards-Wilkinson-type, Gaussian, interfaces with power-law dispersion. We calculate the probability distribution of the maximal intensity and find that, generically, it does not…
We consider point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show convergence of the maximum random walk to the Gumbel or the…
We study a continuous time branching process where an individual splits into two daughters with rate b and dies with rate a, starting from a single individual at t=0. We show that the model can be mapped exactly to a random walk problem…
We study analytically the distribution of the minimum of a set of hierarchically correlated random variables $E_1$, $E_2$, $...$, $E_N$ where $E_i$ represents the energy of the $i$-th path of a directed polymer on a Cayley tree. If the…
The Tracy-Widom distribution that has been much studied in recent years can be thought of as an extreme value distribution. We discuss interpolation between the classical extreme value distribution $\exp(-\exp(-x))$, the Gumbel distribution…
Extremal quantile regression, i.e. quantile regression applied to the tails of the conditional distribution, counts with an increasing number of economic and financial applications such as value-at-risk, production frontiers, determinants…
We study the distribution of maxima (Extreme Value Statistics) for sequences of observables computed along orbits generated by random transformations. The underlying, deterministic, dynamical system can be regular or chaotic. In the former…
The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and…
It is well known that the distribution of extreme values of strictly stationary sequences differ from those of independent and identically distributed sequences in that extremal clustering may occur. Here we consider non-stationary but…
In this work, we deal with extreme value theory in the context of continued fractions using techniques from probability theory, ergodic theory and real analysis. We give an upper bound for the rate of convergence in the Doeblin-Iosifescu…
The extreme value theory is very popular in applied sciences including Finance, economics, hydrology and many other disciplines. In univariate extreme value theory, we model the data by a suitable distribution from the general max-domain of…
We investigate extreme values of Mahonian and Eulerian distributions arising from counting inversions and descents of random elements of finite Coxeter groups. To this end, we construct a triangular array of either distribution from a…
We develop and generalize the theory of extreme value for non-stationary stochastic processes, mostly by weakening the uniform mixing condition that was previously used in this setting. We apply our results to non-autonomous dynamical…
In this paper, we introduce a new class of distributions by compounding the exponentiated extended Weibull family and power series family. This distribution contains several lifetime models such as the complementary extended Weibull-power…
In this manuscript, we study the limiting distribution for the joint law of the largest and the smallest singular values for random circulant matrices with generating sequence given by independent and identically distributed random elements…
Using Beck and Cohen's superstatistics, we introduce in a systematic way a family of generalised Wishart-Laguerre ensembles of random matrices with Dyson index $\beta$ = 1,2, and 4. The entries of the data matrix are Gaussian random…
The maximum ${\log}_q$ likelihood estimation method is a generalization of the known maximum $\log$ likelihood method to overcome the problem for modeling non-identical observations (inliers and outliers). The parameter $q$ is a tuning…
Recent work has suggested that in highly correlated systems, such as sandpiles, turbulent fluids, ignited trees in forest fires and magnetization in a ferromagnet close to a critical point, the probability distribution of a global quantity…
In this note, we obtain verifiable sufficient conditions for the extreme value distribution for a certain class of skew product extensions of non-uniformly hyperbolic base maps. We show that these conditions, formulated in terms of the…
Models for extreme values are generally derived from limit results, which are meant to be good enough approximations when applied to finite samples. Depending on the speed of convergence of the process underlying the data, these…