Related papers: Asymptotic multivariate expectiles
In this paper, we discuss the application of extreme value theory in the context of stationary $\beta$-mixing sequences that belong to the Fr\'echet domain of attraction. In particular, we propose a methodology to construct bias-corrected…
Tuning parameters are parameters involved in an estimating procedure for the purpose of reducing the risk of some other estimator. Examples include the degree of penalization in penalized regression and likelihood problems, as well as the…
Nonparametric regression problems with qualitative constraints such as monotonicity or convexity are ubiquitous in applications. For example, in predicting the yield of a factory in terms of the number of labor hours, the monotonicity of…
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…
Max-stable distributions and processes are important models for extreme events and the assessment of tail risks. The full, multivariate likelihood of a parametric max-stable distribution is complicated and only recent advances enable its…
The notion of asymptotic unpredictability was recently introduced in (Commun. Nonlinear Sci. Numer. Simul. 134, 108029, 2024) for semiflows. Likewise unpredictable trajectories, asymptotically unpredictable ones are also capable of…
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a…
Many statistics are based on functions of sample moments. Important examples are the sample variance $s_{n-1}^2$, the sample coefficient of variation SV(n), the sample dispersion SD(n) and the non-central $t$-statistic $t(n)$. The…
We present a new estimator for causal effects with panel data that builds on insights behind the widely used difference in differences and synthetic control methods. Relative to these methods we find, both theoretically and empirically,…
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision…
Systemic risk measures quantify the potential risk to an individual financial constituent arising from the distress of entire financial system. As a generalization of two widely applied risk measures, Value-at-Risk and Expected Shortfall,…
This paper studies the dynamics of families of monotone nonautonomous neutral functional differential equations with nonautonomous operator, of great importance for their applications to the study of the long-term behavior of the…
For affine stochastic differential equation with uniformly distributed time delay the local asymptotic properties of the likelihood function are studied. Local asymptotic normality, local asymptotic mixed normality, periodic local…
Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is…
In this document, we make a round up of the theory of asymptotic normality of sums of associated random variables, in a coherent approach in view of further contributions for new researchers in the field. (Version 01)
Recent work by Ram\'irez et al. [2] has introduced Multi-Channel Factor Analysis (MFA) as an extension of factor analysis to multi-channel data that allows for latent factors common to all channels as well as factors specific to each…
Randomized experiments have become important tools in empirical research. In a completely randomized treatment-control experiment, the simple difference in means of the outcome is unbiased for the average treatment effect, and covariate…
The classical multivariate extreme value theory tries to capture the extremal dependence between the components under a multivariate domain of attraction condition and it requires each of the components to be in the domain of attraction of…
Impropriety testing for complex-valued vector has been considered lately due to potential applications ranging from digital communications to complex media imaging. This paper provides new results for such tests in the asymptotic regime,…
In this paper, we examine two problems on applied probability, which are directly connected with the dependence in presence of heavy tails. The first problem, is related to max-sum equivalence of the randomly weighted sums in bi-variate set…