Related papers: Extremal clustering in non-stationary random seque…
This article develops a method to construct the optimal sequential test for monitoring the changes in the distribution of finite observation sequences with a general dependence structure. This method allows us to prove that different…
We study p-adic counterparts of stable distributions, that is limit distributions for sequences of normalized sums of independent identically distributed p-adic-valued random variables. In contrast to the classical case, non-degenerate…
The article determines the asymptotic shape of the extremal clusters in stationary regularly varying random fields. To deduce this result, we present a general framework for the Poisson approximation of point processes on Polish spaces…
Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these…
We investigate the limiting behavior of sample central moments, examining the special cases where the limiting (as the sample size tends to infinity) distribution is degenerate. Parent (non-degenerate) distributions with this property are…
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…
A geometric representation for multivariate extremes, based on the shapes of scaled sample clouds in light-tailed margins and their so-called limit sets, has recently been shown to connect several existing extremal dependence concepts.…
We study the statistical distribution of the closest encounter between observations computed along different trajectories of a mixing dynamical system. At the limit of large trajectories, the distribution is of Gumbel type and depends on…
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,…
In this paper, higher-order expansions for distributions and densities of powered extremes of standard normal random sequences are established under an optimal choice of normalized constants. Our findings refine the related results in Hall…
We show that generalised extreme value statistics -the statistics of the k-th largest value among a large set of random variables- can be mapped onto a problem of random sums. This allows us to identify classes of non-identical and…
Davis and Mikosch [7] introduced the extremogram as a flexible quantitative tool for measuring various types of extremal dependence in a stationary time series. There we showed some standard statistical properties of the sample extremogram.…
Finding the underlying probability distributions of a set of observed sequences under the constraint that each sequence is generated i.i.d by a distinct distribution is considered. The number of distributions, and hence the number of…
In environmental sciences, it is often of interest to assess whether the dependence between extreme measurements has changed during the observation period. The aim of this work is to propose a statistical test that is particularly sensitive…
A rank-invariant clustering of variables is introduced that is based on the predictive strength between groups of variables, i.e., two groups are assigned a high similarity if the variables in the first group contain high predictive…
This article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the…
Factor models have large potencial in the modeling of several natural and human phenomena. In this paper we consider a multivariate time series $\mb{Y}_n$, ${n\geq 1}$, rescaled through random factors $\mb{T}_n$, ${n\geq 1}$, extending some…
It will be discussed the statistics of the extreme values in time series characterized by finite-term correlations with non-exponential decay. Precisely, it will be considered the results of numerical analyses concerning the return…
We consider the estimation of the mixing distribution of a normal distribution where both the shift and scale are unobserved random variables. We argue that in general, the model is not identifiable. We give an elegant non-constructive…
A main task in data analysis is to organize data points into coherent groups or clusters. The stochastic block model is a probabilistic model for the cluster structure. This model prescribes different probabilities for the presence of edges…