Related papers: Right-truncated Archimedean and related copulas
We discuss the mechanism of truncations driven by the imposition of constraints. We show how the consistency of such truncations is controlled, and give general theorems that establish conditions for the correct uplifting of solutions. We…
Exact upper bounds on the Winsorised-tilted mean of a random variable in terms of its first two moments are given. Such results are needed in work on nonuniform Berry--Esseen-type bounds for general nonlinear statistics. As another…
The calculation of the natural lineshape of an excited two-level atom (TLA) has long been known to be gauge-dependent, with certain experiments in better agreement with the lineshape calculated with the dipole gauge. We show that by using a…
We study constrained versions of the Ingleton inequality in the entropic setting and quantify its stability under small violations of conditional independence. Although the classical Ingleton inequality fails for general entropy profiles,…
By means of a Lynden-Bell integral with deterministic threshold, Worms and Worms [A Lynden-Bell integral estimator for extremes of randomly truncated data. Statist. Probab. Lett. 2016; 109: 106-117] recently introduced an asymptotically…
It is well-known that the expected scaled maximum of non-negative random variables with unit mean defines a stable tail dependence function associated with some extreme-value copula. In the special case when these random variables are…
This work prepares new probability bounds for sums of random, independent, Hermitian tensors. These probability bounds characterize large-deviation behavior of the extreme eigenvalue of the sums of random tensors. We extend Lapalace…
The family of right-angled tiling links consists of links built from regular 4-valent tilings of constant-curvature surfaces that contain one or two types of tiles. The complements of these links admit complete hyperbolic structures and…
This work deals with the estimation of the extreme value index and extreme quantiles for heavy tailed data,randomly right truncated by another heavy tailed variable. Under mild assumptions and the condition thatthe truncated variable is…
Let $X_1,\dots,X_n$ be independent normal random variables with $X_i\sim N(\mu_i,\sigma_i^2)$, and set $Z=\prod_{i=1}^n X_i$. We derive asymptotic approximations for the right tail probability $\mathbb{P}(Z>x)$ as $x\to\infty$. When at…
We study the overlaps between right and left eigenvectors for random matrices of the spherical and truncated unitary ensembles. Conditionally on all eigenvalues, diagonal overlaps are shown to be distributed as a product of independent…
In this paper, we propose an estimator of the second-order parameter of randomly right-truncated Pareto-type distributions data and establish its consistency and asymptotic normality. Moreover, we derive an asymptotically unbiased estimator…
We consider the class of non-Hermitian operators represented by infinite tridiagonal matrices, selfadjoint in an indefinite inner product space with one negative square. We approximate them with their finite truncations. Both infinite and…
This paper studies the effect of truncation on the large deviations behavior of the partial sum of a triangular array coming from a truncated power law model. Each row of the triangular array consists of i.i.d. random vectors, whose…
Comonotonicity (``same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper investigates anticomonotonicity (``opposite variation'';…
Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar's theorem, "the fundamental theorem of copulas", makes a clear distinction between the continuous case…
We examine random variables in the power law/regularly varying class with stochastic tail exponent, the exponent $\alpha$ having its own distribution. We show the effect of stochasticity of $\alpha$ on the expectation and higher moments of…
A class of numerical quadrature rules is derived, with equally-spaced nodes, and unit weights except at a few points at each end of the series, for which "corrections" (not using any further information about the integrand) are added to the…
In many areas of interest, modern risk assessment requires estimation of the extremal behaviour of sums of random variables. We derive the first order upper-tail behaviour of the weighted sum of bivariate random variables under weak…
This paper describes the construction of a lower bound for the tails of general random variables, using solely knowledge of their moment generating function. The tilting procedure used allows for the construction of lower bounds that are…