Related papers: Heavy-tailed chiral random matrix theory

We develop two new estimators for a general class of stationary GARCH models with possibly heavy tailed asymmetrically distributed errors, covering processes with symmetric and asymmetric feedback like GARCH, Asymmetric GARCH, VGARCH and…

We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In…

We consider rectangular random matrices of size $p\times n$ belonging to the real Wishart-Laguerre ensemble also known as the chiral Gaussian orthogonal ensemble. This ensemble appears in many applications like QCD, mesoscopic physics, and…

We present a natural solution to the strong CP problem in the context of split fermions. By assuming CP is spontaneously broken in the bulk, a weak CKM phase is created in the standard model due to a twisting in flavor space of the bulk…

We investigate a stationary random coefficient autoregressive process. Using renewal type arguments tailor-made for such processes, we show that the stationary distribution has a power-law tail. When the model is normal, we show that the…

In this work, we give a ${\rm poly}(d,k)$ time and sample algorithm for efficiently learning the parameters of a mixture of $k$ spherical distributions in $d$ dimensions. Unlike all previous methods, our techniques apply to heavy-tailed…

Consider $n$ i.i.d. random vectors on $\mathbb{R}^2$, with unknown, common distribution function $F$. Under a sharpening of the extreme value condition on $F$, we derive a weighted approximation of the corresponding tail copula process.…

Empirical distributions have their in-sample maxima as natural censoring. We look at the "hidden tail", that is, the part of the distribution in excess of the maximum for a sample size of $n$. Using extreme value theory, we examine the…

A sector with QCD-like strong dynamics is common in models of non-standard physics. Such a model could be accessible in LHC searches if both confinement and big-quarks charged under the confining group are at the TeV scale. Big-quark masses…

We characterise the learning of a mixture of two clouds of data points with generic centroids via empirical risk minimisation in the high dimensional regime, under the assumptions of generic convex loss and convex regularisation. Each cloud…

Handling multiplicity without losing much power has been a persistent challenge in various fields that often face the necessity of managing numerous statistical tests simultaneously. Recently, $p$-value combination methods based on…

This work proposes a novel method to robustly and accurately model time series with heavy-tailed noise, in non-stationary scenarios. In many practical application time series have heavy-tailed noise that significantly impacts the…

We study the eigenvalue behaviour of large complex correlated Wishart matrices near an interior point of the limiting spectrum where the density vanishes (cusp point), and refine the existing results at the hard edge as well. More…

The purpose of this paper is to introduce a new Markov chain Monte Carlo method and exhibit its efficiency by simulation and high-dimensional asymptotic theory. Key fact is that our algorithm has a reversible proposal transition kernel,…

The exact expression for the probability density $p_{_N}(x)$ for sums of a finite number $N$ of random independent terms is obtained. It is shown that the very tail of $p_{_N}(x)$ has a Gaussian form if and only if all the random terms are…

The properties of Maximum Likelihood estimator in mixed causal and noncausal models with a generalized Student's t error process are reviewed. Several known existing methods are typically not applicable in the heavy-tailed framework. To…

We propose an analytical approach to the computation of tail probabilities of compound distributions whose individual components have heavy tails. Our approach is based on the contour integration method, and gives rise to a representation…

One of the most challenging issues in QCD is the investigation of spontaneous chiral-symmetry breaking, which is characterized by the non-vanishing chiral condensate when the bare fermion mass is zero. In standard methods, one has to…

In this paper we study the joint distributional convergence of the largest eigenvalues of the sample covariance matrix of a $p$-dimensional time series with iid entries when $p$ converges to infinity together with the sample size $n$. We…

The mass sensitivity of the chiral phase transition of QCD with and without axial $U_A(1)$-symmetry breaking at vanishing and finite quark chemical potential is investigated. To focus on the low-energy sector of QCD, a quark-meson model…