Related papers: Exact extreme value statistics at mixed order tran…
We investigate extreme value statistics (EVS) of general discrete time and continuous space symmetric jump processes. We first show that for unbounded jump processes, the semi-infinite propagator $G_0(x,n)$, defined as the probability for a…
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 maximum product of spacings (MPS) is employed in the estimation of the Generalized Extreme Value Distribution (GEV) and the Generalized Pareto Distribution (GPD). Efficient estimators are obtained by the MPS for all $\gamma$. This…
A pedagogical account of some aspects of Extreme Value Statistics (EVS) is presented from the somewhat non-standard viewpoint of Large Deviation Theory. We address the following problem: given a set of $N$ i.i.d. random variables…
Machine learning is vital in high-stakes domains, yet conventional validation methods rely on averaging metrics like mean squared error (MSE) or mean absolute error (MAE), which fail to quantify extreme errors. Worst-case prediction…
Extreme value statistics, or extreme statistics for short, refers to the statistics that characterizes rare events of either unusually high or low intensity: climate disasters like floods following extremely intense rains are among the…
Extreme value theory (EVT) provides an elegant mathematical tool for the statistical analysis of rare events. When data are collected from multiple population subgroups, because some subgroups may have less data available for extreme value…
We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…
In this work we extend a previous study of matrix models of strength distributions. We still retain the nearest neighbor coupling mode but we extend the values the coupling parameter v. We consider extremes, from very smal v to very large…
We study the factorised steady state of a general class of mass transport models in which mass, a conserved quantity, is transferred stochastically between sites. Condensation in such models is exhibited when above a critical mass density…
In extreme values theory, for a sufficiently large block size, the maxima distribution is approximated by the generalized extreme value (GEV) distribution. The GEV distribution is a family of continuous probability distributions, which has…
We consider the elastic theory for Ising transitions in an isotropic elastic medium in the zero thermal expansion (ZTE) limit. We use this theory to study the nature of the fluctuations in the system near the second phase transitions at…
Unlike typical phase transitions of first and second order, a system displaying the Thouless effect exhibits characteristics of both at the critical point (jumps in the order parameter and anomalously large fluctuations). An $extreme$…
We investigate extreme value theory of a class of random sequences defined by the all-time suprema of aggregated self-similar Gaussian processes with trend. This study is motivated by its potential applications in various areas and its…
The distribution of block maxima of sequences of independent and identically-distributed random variables is used to model extreme values in many disciplines. The traditional extreme value (EV) theory derives a closed-form expression for…
Multivariate extreme value statistical analysis is concerned with observations on several variables which are thought to possess some degree of tail-dependence. In areas such as the modeling of financial and insurance risks, or as the…
Extreme Value Theory (EVT) is one of the most commonly used approaches in finance for measuring the downside risk of investment portfolios, especially during financial crises. In this paper, we propose a novel approach based on EVT called…
A critical problem in extreme value theory (EVT) is the estimation of parameters for the limit probability distributions. Block maxima (BM), an approach in EVT that seeks estimates of parameters of the generalized extreme value distribution…
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…
This paper leverages the statistics of extreme values to predict the worst-case convergence times of machine learning algorithms. Timing is a critical non-functional property of ML systems, and providing the worst-case converge times is…