Related papers: The tail process revisited
The tail correlation function (TCF) is one of the most popular bivariate extremal dependence measures that has entered the literature under various names. We study to what extent the TCF can distinguish between different classes of…
The late-time behavior of a scalar field on fixed Kerr background is examined in a numerical framework incorporating the techniques of conformal compactification and hyperbolic initial value formulation. The applied code is 1+(1+2) as it is…
A general input-output modelling technique for aperiodic-sampling linear systems has been developed. The procedure describes the dynamics of the system and includes the sequence of sampling periods among the variables to be handled. Some…
We present a new family of estimators of the Weibull tail-coefficient. The Weibull tail-coefficient is defined as the regular variation coefficient of the inverse failure rate function. Our estimators are based on a linear combination of…
We study the tail behavior of Markov-modulated generalized Ornstein-Uhlenbeck processes -- that is, solutions to Langevin-type stochastic differential equations driven by a background continuous-time Markov chain. To this end, we consider a…
We discuss various properties of Probabilistic Cellular Automata, such as the structure of the set of stationary measures and multiplicity of stationary measures (or phase transition) for reversible models.
In a general class of one dimensional random differential equation the convergence of the distribution function of the solution to stationary state distribution is studied. In particular it is proved the boundedness respectively the…
Multivariate regular variation plays a role assessing tail risk in diverse applications such as finance, telecommunications, insurance and environmental science. The classical theory, being based on an asymptotic model, sometimes leads to…
This work presents an introduction to feature-based time-series analysis. The time series as a data type is first described, along with an overview of the interdisciplinary time-series analysis literature. I then summarize the range of…
This paper considers how to measure the magnitude of the sum of independent random variables in several ways. We give a formula for the tail distribution for sequences that satisfy the so called Levy property. We then give a connection…
An approach is suggested for analyzing time series by means of resummation techniques of theoretical physics. A particular form of such an analysis, based on the algebraic self-similar renormalization, is developed and illustrated by…
Memory effects are a key feature in the description of the dynamical systems governed by the generalized Langevin equation, which presents an exact reformulation of the equation of motion. A simple measure for the estimation of memory…
Estimating the tail index parameter is one of the primal objectives in extreme value theory. For heavy-tailed distributions the Hill estimator is the most popular way to estimate the tail index parameter. Improving the Hill estimator was…
We developed a new approach for the analysis of physiological time series. An iterative convolution filter is used to decompose the time series into various components. Statistics of these components are extracted as features to…
Response latency -- the time taken to initiate or complete an action or task -- is one of the principal measures used to investigate the mechanisms subserving human and animal cognitive processes. The right tails of response latency…
In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted…
Graph-based methods for signal processing have shown promise for the analysis of data exhibiting irregular structure, such as those found in social, transportation, and sensor networks. Yet, though these systems are often dynamic,…
In this note, analysis of time delay systems using Lambert W function approach is reassessed. A common canonical form of time delay systems is defined. We extended the recent results of [6] for second order into nth order system. The…
We consider random walks amongst random conductances in the cases where the conductances can be arbitrarily small, with a heavy-tailed distribution at 0, and where the conductances may or may not have a heavy-tailed distribution at…
We study the asymptotic tail probability of the first-passage time over a moving boundary for a random walk conditioned to return to zero, where the increments of the random walk have finite variance. Typically, the asymptotic tail behavior…