Related papers: Finite-State Extreme Effect Variable
The widely used 'Counterfactual' definition of Causal Effects was derived for unbiasedness and accuracy - and not generalizability. We propose a Combinatorial definition for the External Validity (EV) of intervention effects. We first…
Multivariate extreme value analysis quantifies the probability and magnitude of joint extreme events. River discharges from the upper Danube River basin provide a challenging dataset for such analysis because the data, which is measured on…
Risk management is particularly concerned with extreme events, but analysing these events is often hindered by the scarcity of data, especially in a multivariate context. This data scarcity complicates risk management efforts. Various tools…
This paper presents a novel semiparametric method to study the effects of extreme events on binary outcomes and subsequently forecast future outcomes. Our approach, based on Bayes' theorem and regularly varying (RV) functions, facilitates a…
We consider globally invertible and piecewise contracting maps in higher dimensions and we perturb them with a particular kind of noise introduced by Lasota and Mackey. We got random transformations which are given by a stationary process:…
This paper concerns estimation and inference for treatment effects in deep tails of the counterfactual distribution of unobservable potential outcomes corresponding to a continuously valued treatment. We consider two measures for the deep…
Various characterizations for fractional Levy process to be of finite variation are obtained, one of which is in terms of the characteristic triplet of the driving Levy process, while others are in terms of differentiability properties of…
An overview of existing nonparametric tests of extreme-value dependence is presented. Given an i.i.d.\ sample of random vectors from a continuous distribution, such tests aim at assessing whether the underlying unknown copula is of the {\em…
In this paper, we draw attention to a problem that is often overlooked or ignored by companies practicing hypothesis testing (A/B testing) in online environments. We show that conducting experiments on limited inventory that is shared…
We analyze the extreme value dependence of independent, not necessarily identically distributed multivariate regularly varying random vectors. More specifically, we propose estimators of the spectral measure locally at some time point and…
We use the law of total variance to generate multiple expansions for the posterior predictive variance. These expansions are sums of terms involving conditional expectations and conditional variances and provide a quantification of the…
The estimation of conditional quantiles at extreme tails is of great interest in numerous applications. Various methods that integrate regression analysis with an extrapolation strategy derived from extreme value theory have been proposed…
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a procedure which maximizes the expected reward; this is often…
Multistability is a phenomenon prevalent in many natural systems. In climate, for example, it allows the possibility of irreversible consequences on planetary scale as a result of climate change. Indeed, a climate ``tipping element'' is a…
The evolution of a measured system and an experimental apparatus is presented in an unified form. Conditions under which the state of such a total system forms, evaluates and declines from a superposition of states are defined. The problem…
In extreme value analysis, tail behavior of a heavy-tailed data distribution is modeled by a Pareto-type distribution in which the so-called extreme value index (EVI) controls the tail behavior. For heavy-tailed data obtained from multiple…
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…
A new finite form of de Finetti's representation theorem is established using elementary information-theoretic tools. The distribution of the first $k$ random variables in an exchangeable vector of $n\geq k$ random variables is close to a…
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…
It is well known that the distribution of extreme values of strictly stationary sequences differ from those of independent and identically distributed sequences in that extremal clustering may occur. Here we consider non-stationary but…