Related papers: Implicit Extremes and Implicit Max-Stable Laws

We provide asymptotic theory for the joint distribution of $X_{\mathrm{inv}}$ and $X_{\mathrm{des}}$, the numbers of inversions and descents of random permutations. Recently, D\"orr & Kahle (2022) proved that $X_{\mathrm{inv}}$,…

Let $X=\{X_n: n\in\mathbb{N}\}$ be a linear process in which the coefficients are of the form $a_i=i^{-1}\ell(i)$ with $\ell$ being a slowly varying function at the infinity and the innovations are independent and identically distributed…

Stretched exponential probability density functions (pdf), having the form of the exponential of minus a fractional power of the argument, are commonly found in turbulence and other areas. They can arise because of an underlying random…

We determine the asymptotic distribution of the sum of correlated variables described by a matrix product ansatz with finite matrices, considering variables with finite variances. In cases when the correlation length is finite, the law of…

We investigate extremal functions ex_e(F,n) and ex_i(F,n) counting maximum numbers of edges and maximum numbers of vertex-edge incidences in simple hypergraphs H which have n vertices and do not contain a fixed hypergraph F; the containment…

Let $\{V_{i,j}; (i,j)\in\N^2\}$ be a two-dimensional array of i.i.d.\ random variables. The limit laws of the sum of independent random products $$ Z_n=\sum_{i=1}^{N_n} \prod_{j=1}^{n} e^{V_{i,j}} $$ as $n,N_n\to\infty$ have been…

The distribution of the sum of independent identically distributed uniform random variables is well-known. However, it is sometimes necessary to analyze data which have been drawn from different uniform distributions. By inverting the…

We show that all multivariate Extreme Value distributions, which are the possible weak limits of the $K$ largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through…

We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against incorrect model assumptions underlying the application of…

We study a branching random walk with independent and identically distributed, heavy tailed displacements. The offspring law is supercritical and satisfies the Kesten-Stigum condition. We treat the case when the law of the displacements…

Dynamic spectral risk measures define a claim's valuation bounds as supremum and infimum of expectations of the claim's payoff over a dominated set of measures. The measures at which such extrema are attained are called extreme measures. We…

For n>=1 let X_n be a vector of n independent Bernoulli random variables. We assume that X_n consists of M "blocks" such that the Bernoulli random variables in block i have success probability p_i. Here M does not depend on n and the size…

The extremes of a stationary time series typically occur in clusters. A primary measure for this phenomenon is the extremal index, representing the reciprocal of the expected cluster size. Both a disjoint and a sliding blocks estimator for…

We consider dynamical systems on a finite measure space fulfilling a spectral gap property and Birkhoff sums of a non-negative, non-integrable observable. For such systems we generalize strong laws of large numbers for intermediately…

We consider the following problem: let $n>k$ be natural numbers, and let $G$ be a graph on $n$ vertices (undirected, without loops or multiple edges). Denote by $h_k(G)$ the number of unordered pairs of vertices in the graph $G$ whose…

We evaluate the dependence among the margins of a random vector with Multivariate Extreme Value distribution throughout the expected value of a range and relate this coefficient of dependence with the multivariate tail dependence. Its…

Let $\{X_{n}, n\ge 1\}$ be a sequence of independent random variables with common general error distribution $GED(v)$ with shape parameter $v>0$, and let $M_{n,r}$ denote the $r$th largest order statistics of $X_{1}, X_{2}, \cdots, X_{n}$.…

This article discusses the properties of extremes of degree sequences calculated from network data. We introduce the notion of a normalized degree, in order to permit a comparison of degree sequences between networks with differing numbers…

An exact analytical description of extreme intensity statistics in complex random states is derived. These states have the statistical properties of the Gaussian and Circular Unitary Ensemble eigenstates of random matrix theory. Although…

Advanced science and technology provide a wealth of big data from different sources for extreme value analysis. Classical extreme value theory was extended to obtain an accelerated max-stable distribution family for modelling competing…