Related papers: Extremal theory for long range dependent infinitel…
In the present paper, we characterize the behavior of supercritical branching processes in random environment with linear fractional offspring distributions, conditioned on having small, but positive values at some large generation. As it…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for…
The main objective of this paper is to develop extreme value theory for $\vartheta$-expansions. We establish the limit distribution of the maximum value in a $\vartheta$-continued fraction mixing stationary stochastic process, along with…
In the classical theorems of extreme value theory the limits of suitably rescaled maxima of sequences of independent, identically distributed random variables are studied. So far, only affine rescalings have been considered. We show,…
We prove a sequence of limiting results about weakly dependent stationary and regularly varying stochastic processes in discrete time. After deducing the limiting distribution for individual clusters of extremes, we present a new type of…
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…
We derive theorems which outline explicit mechanisms by which anomalous scaling for the probability density function of the sum of many correlated random variables asymptotically prevails. The results characterize general anomalous scaling…
We extend the scope of the dynamical theory of extreme values to cover phenomena that do not happen instantaneously, but evolve over a finite, albeit unknown at the onset, time interval. We consider complex dynamical systems, composed of…
Over the last 30 years, extensive work has been devoted to developing central limit theory for partial sums of subordinated long memory linear time series. A much less studied problem, motivated by questions that are ubiquitous in extreme…
We establish a new class of functional central limit theorems for partial sum of certain symmetric stationary infinitely divisible processes with regularly varying L\'{e}vy measures. The limit process is a new class of symmetric stable…
We consider the edge-triangle model, a two-parameter family of exponential random graphs in which dependence between edges is introduced through triangles. In the so-called replica symmetric regime, the limiting free energy exists together…
We develop and generalize the theory of extreme value for non-stationary stochastic processes, mostly by weakening the uniform mixing condition that was previously used in this setting. We apply our results to non-autonomous dynamical…
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…
We establish limit theorems for the fluctuations of the rescaled occupation time of a $(d,\alpha,\beta)$-branching particle system. It consists of particles moving according to a symmetric $\alpha$-stable motion in $\mathbb{R}^d$. The…
We obtain a strong renewal theorem with infinite mean beyond regular variation, when the underlying distribution belongs to the domain of geometric partial attraction a semistable law with index $\alpha\in (1/2,1]$. In the process we obtain…
Block maxima methods constitute a fundamental part of the statistical toolbox in extreme value analysis. However, most of the corresponding theory is derived under the simplifying assumption that block maxima are independent observations…
Regularly varying stochastic processes are able to model extremal dependence between process values at locations in random fields. We investigate the empirical extremogram as an estimator of dependence in the extremes. We provide conditions…
We consider a class of stationary processes exhibiting both long-range dependence and heavy tails. Separate limit theorems for sums and for extremes have been established recently in literature with novel objects appearing in the limits. In…
This paper investigates extreme value theory for processes obtained by applying transformations to stationary Gaussian processes, also called subordinated Gaussian processes. The main contributions are as follows. First, we refine the…
This paper presents a new model for characterising temporal dependence in exceedances above a threshold. The model is based on the class of trawl processes, which are stationary, infinitely divisible stochastic processes. The model for…