Related papers: A family of random sup-measures with long-range de…
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…
We investigate a family of multiple-stable processes that may exhibit either long-range or short-range dependence, depending on the parameters. There are two parameters for the processes, the memory parameter $\beta\in(0,1)$ and the…
We prove limit theorems of an entirely new type for certain long memory regularly varying stationary infinitely divisible random processes. These theorems involve multiple phase transitions governed by how long the memory is. Apart from one…
Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory of risk measures and makes it possible to extend…
A variation of Choquet random sup-measures is introduced. These random sup-measures are shown to arise as the scaling limits of empirical random sup-measures of a general aggregated model. Because of the aggregations, the finite-dimensional…
The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We discuss recent concepts of heavy-tailed time series,…
We study the multifractal analysis of self-similar measures arising from random homogeneous iterated function systems. Under the assumption of the uniform strong separation condition, we see that this analysis parallels that of the…
We consider a finite sequence of random points in a finite domain of a finite-dimensional Euclidean space. The points are sequentially allocated in the domain according to a model of cooperative sequential adsorption. The main peculiarity…
A causal set is a partially ordered set on a countably infinite ground-set such that each element is above finitely many others. A natural extension of a causal set is an enumeration of its elements which respects the order. We bring…
We provide asymptotic theory for certain functions of the sample autocovariance matrices of a high-dimensional time series with infinite fourth moment. The time series exhibits linear dependence across the coordinates and through time.…
We introduce a definition of long range dependence of random processes and fields on an (unbounded) index space $T\subseteq \R^d$ in terms of integrability of the covariance of indicators that a random function exceeds any given level. This…
We develop large sample theory for merged data from multiple sources. Main statistical issues treated in this paper are (1) the same unit potentially appears in multiple datasets from overlapping data sources, (2) duplicated items are not…
The study of multivariate extremes is dominated by multivariate regular variation, although it is well known that this approach does not provide adequate distinction between random vectors whose components are not always simultaneously…
We propose a discrete-time, finite-state stationary process that can possess long-range dependence. Among the interesting features of this process is that each state can have different long-term dependency, i.e., the indicator sequence can…
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…
Sampling theory concerns the problem of reconstruction of functions from the knowledge of their values at some discrete set of points. In this paper we derive an orthogonal sampling theory and associated Lagrange interpolation formulae from…
We study a two-dimensional family of probability measures on infinite Gelfand-Tsetlin schemes induced by a distinguished family of extreme characters of the infinite-dimensional unitary group. These measures are unitary group analogs of the…
We consider the problem of bounding large deviations for non-i.i.d. random variables that are allowed to have arbitrary dependencies. Previous works typically assumed a specific dependence structure, namely the existence of independent…
We study the extremes for a class of a symmetric stable random fields with long range dependence. We prove functional extremal theorems both in the space of sup measures and in the space of cadlag functions of several variables. The limits…
We consider stationary configurations of points in Euclidean space which are marked by positive random variables called scores. The scores are allowed to depend on the relative positions of other points and outside sources of randomness.…