Related papers: Can one hear the shape of a target zone?
For a one-dimensional smooth vector field in a neighborhood of an unstable equilibrium, we consider the associated dynamics perturbed by small noise. We give a revealing elementary proof of a result proved earlier using heavy machinery from…
In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-varying parameter. The model captures the stochastic…
We revisit a single-server retrial queue with two independent Poisson streams (corresponding to two types of customers) and two orbits. The size of each orbit is infinite. The exponential server (with a rate independent of the type of…
One reports computational study revealing a set of general requirements, fulfilling of which would allow employing changes in ambient conditions to regulate accomplishing the collective outcome of emerging active network patterns in an…
Expectile, as the minimizer of an asymmetric quadratic loss function, is a coherent risk measure and is helpful to use more information about the distribution of the considered risk. In this paper, we propose a new risk measure by replacing…
Rare long distance dispersal events are thought to have a disproportionate impact on the spread of invasive species. Modelling using integrodifference equations suggests that, when long distance contacts are represented by a fat-tailed…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
Risk measures such as Conditional Value-at-Risk (CVaR) focus on extreme losses, where scarce tail data makes model error unavoidable. To hedge misspecification, one evaluates worst-case tail risk over an ambiguity set. Using Extreme Value…
In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed risks are modeled using regular variation which leads to a…
We focus on the problem of modulating a parameter onto a power-limited signal transmitted over a discrete-time Gaussian channel and estimating this parameter at the receiver. Considering the well-known threshold effect in non-linear…
We study the problem of identifying the unknown intervention targets in structural causal models where we have access to heterogeneous data collected from multiple environments. The unknown intervention targets are the set of endogenous…
Extreme economic outcomes are not shaped by tails alone. They are also shaped by unequal access to opportunities. This paper develops a theory of heterogeneous extremes by taking the distribution of opportunity access as the object of…
Financial spillovers in interconnected systems, such as global banking networks, require tools that capture temporal and frequency dynamics, while incorporating the underlying network topology. While current network time series models are…
In randomized controlled trials (RCTs) of infectious disease interventions, it is well recognized that unmeasured individual heterogeneity at baseline can induce selection bias over time, thereby complicating the interpretation of the…
Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…
The exchange algorithm is one of the most popular extensions of the Metropolis--Hastings algorithm to sample from doubly-intractable distributions. However, the theoretical exploration of the exchange algorithm is very limited. For example,…
The realized GARCH framework is extended to incorporate the two-sided Weibull distribution, for the purpose of volatility and tail risk forecasting in a financial time series. Further, the realized range, as a competitor for realized…
We are looking for the agent-based treatment of the financial markets considering necessity to build bridges between microscopic, agent based, and macroscopic, phenomenological modeling. The acknowledgment that agent-based modeling…
Some recent theoretical studies have tended to employ analytically-continuous {\em gaussian}, or infinite-bandwidth step pulses to examine tunneling process. The stationary phase method is often employed to this aim. However, {\em gaussian}…
The statistical theory of extremes is extended to observations that are non-stationary and not independent. The non-stationarity over time and space is controlled via the scedasis (tail scale) in the marginal distributions. Spatial…