Related papers: Implicit Extremes and Implicit Max-Stable Laws

We consider the extremal properties of the highly flexible univariate extended skew-normal distribution. We derive the well-known Mills' inequalities and Mills' ratio for the extended skew-normal distribution and establish the asymptotic…

The extreme statistics of time signals is studied when the maximum is measured from the initial value. In the case of independent, identically distributed (iid) variables, we classify the limiting distribution of the maximum according to…

We consider a sequence $(\xi_n)_{n\ge1}$ of $i.i.d.$ random values living in the domain of attraction of an extreme value distribution. For such sequence, there exists $(a_n)$ and $(b_n)$, with $a_n>0$ and $b_n\in\ER$ for every $n\ge 1$,…

Let $M_n$ be a $n \times n$ Wigner or sample covariance random matrix, and let $\mu_1(M_n), \mu_2(M_n), ..., \mu_n(M_n)$ denote the unordered eigenvalues of $M_n$. We study the fluctuations of the partial linear eigenvalue statistics $$…

Implicit variables of a mathematical program are variables which do not need to be optimized but are used to model feasibility conditions. They frequently appear in several different problem classes of optimization theory comprising bilevel…

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…

Extreme events are unusual and rare large-amplitude fluctuations that occur can unexpectedly in nonlinear dynamical systems. Events above the extreme event threshold of the probability distribution of a nonlinear process characterize…

Let recall that the term 'k-th extreme' was introduced in a limiting sense. That is, if $X_{r:n}$ denote the r-th order statistic then for fix k, as $n\to\infty$, $X_{n-k+1:n}$ is called the k-th extremes or k-th largest order statistics.…

Let $X_1,X_2,\dots$ be independent and identically distributed random variables on the real line with a joint continuous distribution function $F$. The stochastic behavior of the sequence of subsequent records is well known. Alternatively…

We consider maximum rooted tree extension counts in random graphs, i.e., we consider M_n = \max_v X_v where X_v counts the number of copies of a given tree in G_{n,p} rooted at vertex v. We determine the asymptotics of M_n when the random…

Consider $n$ i.i.d. random elements on $C[0,1]$. We show that, under an appropriate strengthening of the domain of attraction condition, natural estimators of the extreme-value index, which is now a continuous function, and the normalizing…

We consider random vectors $X$ that satisfy the equation in law $X=AX+B$, where $A$ is a given random diagonal matrix and $B$ a given random vector, both independent of $X$. It is well known by the works of Kesten and Goldie that the…

In this paper we provide a connection between the geometrical properties of a chaotic dynamical system and the distribution of extreme values. We show that the extremes of so-called physical observables are distributed according to the…

The univariate extreme value theory deals with the convergence in type of powers of elements of sequences of cumulative distribution functions on the real line when the power index gets infinite. In terms of convergence of random variables,…

Fluctuations of global additive quantities, like total energy or magnetization for instance, can in principle be described by statistics of sums of (possibly correlated) random variables. Yet, it turns out that extreme values (the largest…

Given a partition $\{I_1,\ldots,I_k\}$ of $\{1,\ldots,n\}$, let $(X_1,\ldots,X_n)$ be random vector with each $X_i$ taking values in an arbitrary measurable space $(S,\mathscr{S})$ such that their joint law is invariant under finite…

Hidden regular variation defines a subfamily of distributions satisfying multivariate regular variation on $\mathbb{E} = [0, \infty]^d \backslash \{(0,0, ..., 0) \} $ and models another regular variation on the sub-cone $\mathbb{E}^{(2)} =…

Max stable laws are limit laws of linearly normalized partial maxima of independent identically distributed random variables. Saeb (2014) proves that the Renyi entropy of order b (b > 1) of linear normalized maximum of iid random variables…

In this paper, we investigate temporal clusters of extremes defined as subsequent exceedances of high thresholds in a stationary time series. Two meaningful features of these clusters are the probability distribution of the cluster size and…

In this paper we obtain the limit distribution for partial sums with a random number of terms following a class of mixed Poisson distributions. The resulting weak limit is a mixing between a normal distribution and an exponential family,…