Related papers: On Extremal Index of Max-Stable Random Fields
Consider the max-stable process $\eta(t) = \max_{i\in\mathbb N} U_i \rm{e}^{\langle X_i, t\rangle - \kappa(t)}$, $t\in\mathbb{R}^d$, where $\{U_i, i\in\mathbb{N}\}$ are points of the Poisson process with intensity $u^{-2}\rm{d} u$ on…
The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…
One of the main topics of extreme value analysis is to estimate the extreme value index, an important parameter that controls the tail behavior of the distribution. In many cases, estimating the extreme value index of the target variable…
Suppose $[\mu]_{T(\Delta)}$ is a point of the universal Teichm\"uller space $T(\Delta)$. In 1998, it was shown by Bo\v{z}in et al. that there exists $\mu$ such that $\mu$ has non-constant modulus and is uniquely extremal in…
The present paper is a continuation of the author's previous works, in which necessary and sufficient local extrema at a stationary point of a polynomial or a power series (and thus of an analytic function) are given. It is known that for…
The classical modeling of spatial extremes relies on asymptotic models (i.e., max-stable processes or $r$-Pareto processes) for block maxima or peaks over high thresholds, respectively. However, at finite levels, empirical evidence often…
The extremal index is a quantity introduced in extreme value theory to measure the presence of clusters of exceedances. In the dynamical systems framework, it provides important information about the dynamics of the underlying systems. In…
We investigate the joint asymptotic behavior of so-called blocks estimator of the extremal index, that determines the mean length of clusters of extremes, based on the exceedances over different thresholds. Due to the large bias of these…
In the present paper we obtain a necessary and sufficient condition to prove the Riemann hypothesis in terms of certain properties of local extrema of the function $\Xi(t)=\xi(\tfrac{1}{2}+it)$. First, we prove that positivity of all local…
We consider the extreme value theory of a hyperbolic toral automorphism $T: \mathbb{T}^2 \to \mathbb{T}^2$ showing that if a H\"older observation $\phi$ which is a function of a Euclidean-type distance to a non-periodic point $\zeta$ is…
The risk of occurrence of atypical phenomena is a cross-cutting concern in several areas, such as engineering, climatology, finance, actuarial, among others. Extreme value theory is the natural tool to approach this theme. Many of these…
We re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as reciprocal of the expected size of an extremal cluster above high thresholds. We focus on heavy-tailed time series, in particular on regularly…
Motivated by the papers of Mladenovc and Piterbarg (2006), Krajka (2011) and Pereira and Tan (2017), we study the limit properties for the maxima from nonstationary random fields subject to missing observations and obtain the weakly…
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable for studying spatial extremes. Spatial…
Being the max-analogue of $\alpha$-stable stochastic processes, max-stable processes form one of the fundamental classes of stochastic processes. With the arrival of sufficient computational capabilities, they have become a benchmark in the…
A network evolution with predicted tail and extremal indices of PageRank and the Max-Linear Model used as node influence indices in random graphs is considered. The tail index shows a heaviness of the distribution tail. The extremal index…
Max-stable distributions and processes are important models for extreme events and the assessment of tail risks. The full, multivariate likelihood of a parametric max-stable distribution is complicated and only recent advances enable its…
We prove the strong consistency and the asymptotic normality of the maximum likelihood estimator of the parameters of a general conditionally heteroscedastic model with $\alpha$-stable innovations. Then, we relax the assumptions and only…
Answering questions of Y. Rabinovich, we prove "stability" versions of upper bounds on maximal independent set counts in graphs under various restrictions. Roughly these say that being close to the maximum implies existence of a large…
It is proved that if $T$ is sufficiently large, then uniformly for all positive integers $\ell \leqslant (\log T) / (\log_2 T)$, we have \begin{equation*} \max_{T\leqslant t\leqslant 2T}\left|\zeta^{(\ell)}\Big(1+it\Big)\right| \geqslant…