Related papers: Directional phantom distribution functions for~sta…
Certain extremum estimators have asymptotic distributions that are non-Gaussian, yet characterizable as the distribution of the $\argmax$ of a Gaussian process. This paper presents high-level sufficient conditions under which such…
Max-stable random fields play a central role in modeling extreme value phenomena. We obtain an explicit formula for the conditional probability in general max-linear models, which include a large class of max-stable random fields. As a…
The martingale expansion provides a refined approximation to the marginal distributions of martingales beyond the normal approximation implied by the martingale central limit theorem. We develop a martingale expansion framework specifically…
In sustained growth with random dynamics stationary distributions can exist without detailed balance. This suggests thermodynamical behavior in fast growing complex systems. In order to model such phenomena we apply both a discrete and a…
We present a way of introducing joint distibution function and its marginal distribution functions for non-compatible observables. Each such marginal distribution function has the property of commutativity. Models based on this approach can…
The paper contains an exposition of recent as well as old enough results on determinantal random point fields. We start with some general theorems including the proofs of the necessary and sufficient condition for the existence of the…
The purpose of this paper is to study the limiting distribution of special {\it additive functionals} on random planar maps, namely the number of occurrences of a given {\it pattern}. The main result is a central limit theorem for these…
We have obtained some upper bounds for the probability distribution of extremes of a self-similar Gaussian random field with stationary rectangular increments that are defined on the compact spaces. The probability distributions of extremes…
We prove a central limit theorem for strictly stationary random fields under a sharp projective condition. The assumption was introduced in the setting of random variables by Maxwell and Woodroofe. Our approach is based on new results for…
The main result of the article reads: the distribution of a continuous starting from zero local martingale whose quadratic characteristic is almost surely absolutely continuous with respect to some non-random increasing continuous function…
In this paper, we give rates of convergence, for minimal distances and for the uniform distance, between the law of partial sums of martingale differences and thelimiting Gaussian distribution. More precisely, denoting by $P_{X}$ the law of…
Motivated by applications to insurance mathematics, we prove some heavy-traffic limit theorems for processes which encompass the fractionally differentiated random walk as well as some FARIMA processes, when the innovations are in the…
Motivated by the subordinated Brownian motion, we define a new class of (in general discontinuous) random fields on higher-dimensional parameter domains: the subordinated Gaussian random field. We investigate the pointwise marginal…
In this work we develop a Monte Carlo method to compute the height distribution of local maxima of a stationary Gaussian or Gaussian-related random field that is observed on a regular lattice. We show that our method can be used to provide…
We propose a discrete-time, finite-state stationary process that can possess long-range dependence. Among the interesting features of this process is that each state can have different long-term dependency, i.e., the indicator sequence can…
We consider a family of random locations, called intrinsic location functionals, of periodic stationary processes. This family includes but is not limited to the location of the path supremum and first/last hitting times. We first show that…
The paper presents bounds for the distributions of suprema for a particular class of sub-Gaussian type random fields defined over spaces with anisotropic metrics. The results are applied to random fields related to stochastic heat equations…
This is an extended version of a series of talks I held at the University of Bochum in 2017 about limit theorems for non-linear functionals of stationary Gaussian random fields. The goal of these talks was to give a fairly detailed…
Let $(M,g)$ be a smooth compact Riemannian surface with no boundary. Given a smooth vector field $V$ with finitely many zeroes on $M$, we study the distribution of the number of tangencies to $V$ of the nodal components of random…
The asymptotic results that underlie applications of extreme random fields often assume that the variables are located on a regular discrete grid, identified with $\mathbb{Z}^2$, and that they satisfy stationarity and isotropy conditions.…