Related papers: Extremal theory for long range dependent infinitel…

In this paper we study the convergence in distribution and the local limit theorem for the partial sums of linear random fields with i.i.d. innovations that have infinite second moment and belong to the domain of attraction of a stable law…

Given a large, high-dimensional sample from a spiked population, the top sample covariance eigenvalue is known to exhibit a phase transition. We show that the largest eigenvalues have asymptotic distributions near the phase transition in…

We determine the distributional behavior for products of free random variables in a general infinitesimal triangular array. In the case of positive variables, the main theorem extends a result proved earlier for arrays with identically…

Chatterjee, Diaconis and Sly (2011) recently established the consistency of the maximum likelihood estimate in the $\beta$-model when the number of vertices goes to infinity. By approximating the inverse of the Fisher information matrix, we…

In this paper we establish some conditional limit theorems for some critical superprocesses $X=\{X_t, t\ge 0\}$. First we identify the rate of non-extinction. Then we show that, for a large class of functions $f$, conditioned on…

We consider Ewens random permutations of length $n$ conditioned to have no cycle longer than $n^\beta$ with $0<\beta<1$ and to study the asymptotic behaviour as $n\to\infty$. We obtain very precise information on the joint distribution of…

The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…

We propose a stochastic process driven by the memory effect with novel distributions which include both exponential and leptokurtic heavy-tailed distributions. A class of the distributions is analytically derived from the continuum limit of…

A coagulation process is studied in a set of random masses, in which two randomly chosen masses and the smallest mass of the set multiplied by some fixed parameter $\omega\in [-1,1]$ are iteratively added. Besides masses (or primary…

Let $\{\zeta_{m,k}^{(\kappa)}(t), t \ge0\}, \kappa>0$ be random processes defined as the differences of two independent stationary chi-type processes with $m$ and $k$ degrees of freedom. In applications such as physical sciences and…

We survey recent results of normal and anomalous diffusion of two types of random motions with long memory in ${\Bbb R}^d$ or ${\Bbb Z}^d$. The first class consists of random walks on ${\Bbb Z}^d$ in divergence-free random drift field,…

This paper presents new limit theorems for power variation of fractional type symmetric infinitely divisible random fields. More specifically, the random field $X = (X(\boldsymbol{t}))_{\boldsymbol{t} \in [0,1]^d}$ is defined as an integral…

The statistics of the slowest first-passage time among a large population of $N$ searchers is crucial for determining the completion time of many stochastic processes. Classical extreme-value theory predicts that for diffusing particles in…

We establish strong invariance principles for sums of stationary and ergodic processes with nearly optimal bounds. Applications to linear and some nonlinear processes are discussed. Strong laws of large numbers and laws of the iterated…

Motivated by examples from extreme value theory we introduce the general notion of a cluster process as a limiting point process of returns of a certain event in a time series. We explore general invariance properties of cluster processes…

Recently, several strong limit theorems for the oscillation moduli of the empirical process have been given in the iid-case. We show that, with very slight differences, those strong results are also obtained for some representation of the…

A central limit theorem is established for a sum of random variables belonging to a sequence of random fields. The fields are assumed to have zero mean conditional on the past history and to satisfy certain conditional $\alpha$-mixing…

For a strictly stationary sequence of random variables we derive functional convergence of the joint partial sum and partial maxima process under joint regular variation with index $\alpha \in (0,2)$ and weak dependence conditions. The…

Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long- and short-range dependence of extremes may both appear. In…

It is well-known that the expected scaled maximum of non-negative random variables with unit mean defines a stable tail dependence function associated with some extreme-value copula. In the special case when these random variables are…