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The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We discuss recent concepts of heavy-tailed time series,…
Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…
We consider stationary stochastic processes arising from dynamical systems by evaluating a given observable along the orbits of the system. We focus on the extremal behaviour of the process, which is related to the entrance in certain…
A central issue in the theory of extreme values focuses on suitable conditions such that the well-known results for the limiting distributions of the maximum of i.i.d. sequences can be applied to stationary ones. In this context, the…
Given $\alpha \in (0, \infty)$ and $r \in (0, \infty)$, let ${\cal D}_{r, \alpha}$ be the disc of radius $r$ in the hyperbolic plane having curvature $-\alpha^2$. Consider the Poisson point process having uniform intensity density on ${\cal…
In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies with determining which subsets of variables can take…
In this work we use the extremization method of various information-theoretic measures (Fisher information, Shannon entropy, Tsallis entropy) for $d$-dimensional quantum systems, which complementary describe the spreading of the quantum…
Let $\mathbf{X}(n) \in \mathbb{R}^d$ be a sequence of random vectors, where $n\in\mathbb{N}$ and $d = d(n)$. Under certain weakly dependence conditions, we prove that the distribution of the maximal component of $\mathbf{X}$ and the…
Exceptional points are singularities in the spectrum of non-Hermitian systems in which several eigenvectors are linearly dependent and their eigenvalues are equal to each other. Usually it is assumed that the order of the exceptional point…
We develop a new extreme value theory for repeated cross-sectional and panel data to construct asymptotically valid confidence intervals (CIs) for conditional extremal quantiles from a fixed number $k$ of nearest-neighbor tail observations.…
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…
It will be discussed the statistics of the extreme values in time series characterized by finite-term correlations with non-exponential decay. Precisely, it will be considered the results of numerical analyses concerning the return…
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…
The extremal index is an important parameter in the characterization of extreme values of a stationary sequence. Our new estimation approach for this parameter is based on the extremal behavior under the local dependence condition…
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…
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…
Capturing the extremal behaviour of data often requires bespoke marginal and dependence models which are grounded in rigorous asymptotic theory, and hence provide reliable extrapolation into the upper tails of the data-generating…
We use point processes theory to describe the asymptotic distribution of all upper order statistics for observations collected at renewal times. As a corollary, we obtain limiting theorems for corresponding extremal processes.
Extreme value theory is part and parcel of any study of order statistics in one dimension. Our aim here is to consider such large sample theory for the maximum distance to the origin, and the related maximum "interpoint distance," in…
Entropy functions played a key role in the development of mathematical theory for hyperbolic conservation laws. The notion of entropy, which is intimately connected with symmetry, is an extension \emph{imposed} on nonlinear systems of…