Related papers: Fitting tails affected by truncation

In this chapter, we illustrate the use of split bulk-tail models and subasymptotic models motivated by extreme-value theory in the context of hazard assessment for earthquake-induced landslides. A spatial joint areal model is presented for…

We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly…

This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail dependence by studying conditional tail expectations of…

We introduce a trimmed version of the Hill estimator for the index of a heavy-tailed distribution, which is robust to perturbations in the extreme order statistics. In the ideal Pareto setting, the estimator is essentially finite-sample…

We develop new semiparametric methods for estimating treatment effects. We focus on settings where the outcome distributions may be thick tailed, where treatment effects may be small, where sample sizes are large and where assignment is…

In the real world, the frequency of occurrence of objects is naturally skewed forming long-tail class distributions, which results in poor performance on the statistically rare classes. A promising solution is to mine tail-class examples to…

To provide a comprehensive summary of the tail distribution, the expected shortfall is defined as the average over the tail above (or below) a certain quantile of the distribution. The expected shortfall regression captures the…

The upper bound earthquake magnitude (maximum possible magnitude) of a truncated Gutenberg-Richter relation is the right truncation point (right end-point) of a truncated exponential distribution and is important in the probabilistic…

The normal distribution and its perturbation has left an immense mark on the statistical literature. Hence, several generalized forms were developed to model different skewness, kurtosis, and body shapes. However, it is not easy to…

We consider estimation of the extreme value index and extreme quantiles for heavy-tailed data that are right-censored. We study a general procedure of removing low importance observations in tail estimators. This trimming procedure is…

The size that an epidemic can reach, measured in terms of the number of fatalities, is an extremely relevant quantity. It has been recently claimed [Cirillo & Taleb, Nature Physics 2020] that the size distribution of major epidemics in…

Long-time tails, or algebraic decay of time-correlation functions, have long been known to exist both in many-body systems and in models of non-interacting particles in the presence of quenched disorder that are often referred to as Lorentz…

This paper concerns estimation and inference for treatment effects in deep tails of the counterfactual distribution of unobservable potential outcomes corresponding to a continuously valued treatment. We consider two measures for the deep…

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…

Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…

The dominant approaches to text representation in natural language rely on learning embeddings on massive corpora which have convenient properties such as compositionality and distance preservation. In this paper, we develop a novel method…

We tackle the modeling of threshold exceedances in asymptotically independent stochastic processes by constructions based on Laplace random fields. These are defined as Gaussian random fields scaled with a stochastic variable following an…

It is shown that the ratio of factorial cumulant moments to factorial moments for a multiplicity distribution truncated in the tail reveals oscillations in sign similar to those observed in experimental data. It is suggested that this…

Extreme geophysical events are of crucial relevance to our daily life: they threaten human lives and cause property damage. To assess the risk and reduce losses, we need to model and probabilistically predict these events. Parametrizations…

Exponential tail bounds for sums play an important role in statistics, but the example of the $t$-statistic shows that the exponential tail decay may be lost when population parameters need to be estimated from the data. However, it turns…