Related papers: The integrated periodogram of a dependent extremal…

We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints,…

We introduce a variant of the asymmetric random average process with continuous state variables where the maximal transport is restricted by a cutoff. For periodic boundary conditions, we show the existence of a phase transition between a…

Models for extreme values accommodating non-stationarity have been amply studied and evaluated from a parametric perspective. Whilst these models are flexible, in the sense that many parametrizations can be explored, they assume an…

In this paper, we analyze the asymptotic behavior of the point process of exceedances in a spatio-temporal setting whose points are given by the rescaled occurrence times, the sites and the rescaled values of exceedances. Here, the…

Extreme events are emergent phenomena in multi-particle transport processes on complex networks. In practice, such events could range from power blackouts to call drops in cellular networks to traffic congestion on roads. All the earlier…

We develop an asymptotic theory for extremes in decomposable graphical models by presenting results applicable to a range of extremal dependence types. Specifically, we investigate the weak limit of the distribution of suitably normalised…

We obtain the posterior distribution of a random process conditioned on observing the empirical frequencies of a finite sample path. We find under a rather broad assumption on the "dependence structure" of the process, {\em c.f.}…

We introduce the extremal range, a local statistic for studying the spatial extent of extreme events in random fields on $\mathbb{R}^d$. Conditioned on exceedance of a high threshold at a location $s$, the extremal range at $s$ is the…

This paper deals with the Gaussian and bootstrap approximations to the distribution of the max statistic in high dimensions. This statistic takes the form of the maximum over components of the sum of independent random vectors and its…

This paper introduces a copula-based model for independent but non-identically distributed data with heteroscedastic extremes marginal and changing tail dependence structures. We establish a unified framework for inference by proving the…

This paper establishes a central limit theorem and an invariance principle for a wide class of stationary random fields under natural and easily verifiable conditions. More precisely, we deal with random fields of the form $X_k =…

We derive limit distributions for certain empirical regularized optimal transport distances between probability distributions supported on a finite metric space and show consistency of the (naive) bootstrap. In particular, we prove that the…

We study the statistics of the maximum and minimum of a set of $N$ random variables whose dynamical and statistical properties fall within the scope of infinite ergodic theory. These non-stationary yet recurrent systems are described, in…

This article concerns the estimation of hitting time statistics for potentially non-stationary processes. The main focus is exceedance times of environmental processes. To this end we consider an empirical estimator based on ergodic theory…

We study a class of discrete-time random walks in $\mathbb{R}^d$ whose conditional drift decays polynomially in time and grows polynomially with the distance from the origin to the current position. This class is related to several models…

In competing risks models, cumulative incidence functions are commonly compared to infer differences between groups. Many existing inference methods, however, struggle when these functions cross during the time frame of interest. To address…

For probability measures on countable spaces we derive distributional limits for empirical entropic optimal transport quantities. More precisely, we show that the empirical optimal transport plan weakly converges to a centered Gaussian…

The extremal dependence structure of a regularly varying random vector Xis fully described by its limiting spectral measure. In this paper, we investigate how torecover characteristics of the measure, such as extremal coefficients, from the…

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…

Distinguishing long-memory behaviour from nonstationarity is challenging, as both produce slowly decaying sample autocovariances. Existing stationarity tests either fail to account for long-memory processes or exhibit poor empirical size,…