Related papers: On Optimal Exact Simulation of Max-Stable and Rela…
Stochastic approximation is a framework unifying many random iterative algorithms occurring in a diverse range of applications. The stability of the process is often difficult to verify in practical applications and the process may even be…
High-dimensional simulation optimization is notoriously challenging. We propose a new sampling algorithm that converges to a global optimal solution and suffers minimally from the curse of dimensionality. The algorithm consists of two…
This article uses a combination of three ideas from simulation to establish a nearly optimal polynomial upper bound for the joint density of the stable process and its associated supremum at a fixed time on the entire support of the joint…
For a general adapted integrable right-continuous with left limits (RCLL) process $(X_t)_{t\in[0,\tau]}$ taking values in a metric space $(\mathcal E,d)$, we show (among other things) that for every $m\in(1,\infty)$ $$…
We construct stationary max-infinitely divisible (max-id) processes from systems of randomly time-changed L\'evy particles. Classical examples without time change, such as the Brown-Resnick process, are, up to marginal transformations,…
In multivariate or spatial extremes, inference for max-stable processes observed at a large collection of locations is among the most challenging problems in computational statistics, and current approaches typically rely on less expensive…
The normalized spectral representation of a max-stable process on a compact set is the unique representation where all spectral functions share the same supremum. Among the class of equivalent spectral representations of a process, the…
This article investigates the phenomenon of maximal rigidity in spatial processes, where perfect interpolation of the process is possible from partial information, specifically, from its restriction to a strict subdomain, often resulting in…
Random reshuffling with momentum (RRM) corresponds to the SGD optimizer with momentum option enabled, as found in many machine learning libraries like PyTorch and TensorFlow. Despite its widespread use, the convergence properties of RRM do…
This contribution establishes exact tail asymptotics of $\sup_{(s,t)\in\mathbf{E}}$ $X(s,t)$ for a large class of nonhomogeneous Gaussian random fields $X$ on a bounded convex set $\mathbf{E}\subset\mathbb{R}^2$, with variance function that…
Quantum state tomography (QST), the task of estimating an unknown quantum state given measurement outcomes, is essential to building reliable quantum computing devices. Whereas computing the maximum-likelihood (ML) estimate corresponds to…
Extreme-value theory for random vectors and stochastic processes with continuous trajectories is usually formulated for random objects all of whose univariate marginal distributions are identical. In the spirit of Sklar's theorem from…
Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models…
Recently the regular conditional distributions of max-infinitely divisible processes were derived by \citet{Dombry2011} and although these conditional distributions have complicated closed forms, \citet{Dombry2011b} introduce an algorithm…
Motivated by the papers of Mladenovc and Piterbarg (2006), Krajka (2011) and Pereira and Tan (2017), we study the limit properties for the maxima from nonstationary random fields subject to missing observations and obtain the weakly…
Given an implicit $n\times n$ matrix $A$ with oracle access $x^TA x$ for any $x\in \mathbb{R}^n$, we study the query complexity of randomized algorithms for estimating the trace of the matrix. This problem has many applications in quantum…
Consider a branching random walk $(G_u)_{u\in \mathbb T}$ on the general linear group $\textrm{GL}(V)$ of a finite dimensional space $V$, where $\mathbb T$ is the associated genealogical tree with nodes $u$. For any starting point $v \in V…
The probability that a max-stable process {\eta} in C[0, 1] with identical marginal distribution function F hits x \in R with 0 < F (x) < 1 is the hitting probability of x. We show that the hitting probability is always positive, unless the…
The extremal coefficient function (ECF) of a max-stable process $X$ on some index set $T$ assigns to each finite subset $A\subset T$ the effective number of independent random variables among the collection $\{X_t\}_{t\in A}$. We introduce…
We consider the problem of computing the Maximal Exact Matches (MEMs) of a given pattern $P[1 .. m]$ on a large repetitive text collection $T[1 .. n]$, which is represented as a (hopefully much smaller) run-length context-free grammar of…