Related papers: Extremal clustering in non-stationary random seque…
Skew-symmetric families of distributions such as the skew-normal and skew-$t$ represent supersets of the normal and $t$ distributions, and they exhibit richer classes of extremal behaviour. By defining a non-stationary skew-normal process,…
In this article, after recalling and discussing the conventional extremality, local extremality, stationarity and approximate stationarity properties of collections of sets and the corresponding (extended) extremal principle, we focus on…
The aim of this article is to establish asymptotic distributions and consistency of subsampling for spectral density and for magnitude of coherence for non-stationary, almost periodically correlated time series. We show the asymptotic…
This paper presents and analyzes an approach to cluster-based inference for dependent data. The primary setting considered here is with spatially indexed data in which the dependence structure of observed random variables is characterized…
This paper considers the problem of inference in cluster randomized experiments when cluster sizes are non-ignorable. Here, by a cluster randomized experiment, we mean one in which treatment is assigned at the cluster level. By…
Predicting extreme events is important in many applications in risk analysis. The extreme-value theory suggests modelling extremes by max-stable distributions. The Bayesian approach provides a natural framework for statistical prediction.…
The aim of this paper is to provide conditions which ensure that the affinely transformed partial sums of a strictly stationary process converge in distribution to an infinite variance stable distribution. Conditions for this convergence to…
A statistical description of heavy particles suspended in incompressible rough self-similar flows is developed. It is shown that, differently from smooth flows, particles do not form fractal clusters. They rather distribute inhomogeneously…
The article describes the limiting distribution of the extremes of observations that arrive in clusters. We start by studying the tail behaviour of an individual cluster and then we apply the developed theory to determine the limiting…
Models for extreme values accommodating non-stationarity have been amply studied and evaluated from a parametric perspective. Whilst these models are flexible, in the sense that many parametrizations can be explored, they assume an…
In extreme value statistics for stationary sequences, blocks estimators are usually constructed by using disjoint blocks because exceedances over high thresholds of different blocks can be assumed asymptotically independent. In this paper…
To mitigate the risk posed by extreme rainfall events, we require statistical models that reliably capture extremes in continuous space with dependence. However, assuming a stationary dependence structure in such models is often erroneous,…
We investigate the estimation of multivariate extreme models with a discrete spectral measure using spherical clustering techniques. The primary contribution involves devising a method for selecting the order, that is, the number of…
The extremal characteristics of random structures, including trees, graphs, and networks, are discussed. A statistical physics approach is employed in which extremal properties are obtained through suitably defined rate equations. A variety…
We consider a stationary stochastic volatility field $Y_vZ_v$ with $v\in\mathbb{Z}^d$, where $Z$ is regularly varying and $Y$ has lighter tails and is independent of $Z$. We make - relative to existing literature - very general assumptions…
In the seminal contribution [4] the joint weak convergence of maxima and minima of weakly dependent stationary sequences is derived under some mild asymptotic conditions. In this paper we address additionally the case of incomplete samples…
We investigate extreme value theory for physical systems with a global conservation law which describe renewal processes, mass transport models and long-range interacting spin models. As shown previously, a special feature is that the…
We study the joint limit behavior of sums, maxima and $\ell^p$-type moduli for samples taken from an $\mathbb{R}^d$-valued regularly varying stationary sequence with infinite variance. As a consequence, we can determine the distributional…
Waves traveling through random media exhibit random focusing that leads to extremely high wave intensities even in the absence of nonlinearities. Although such extreme events are present in a wide variety of physical systems and the…
Extremal clusters of stationary processes with long memory can be quite intricate. For certain stationary infinitely divisible processes with subexponential tails, including both power-like tails and certain lighter tails, e.g.…