Related papers: Modeling short-ranged dependence in block extrema …
The generalised extreme value (GEV) distribution is a three parameter family that describes the asymptotic behaviour of properly renormalised maxima of a sequence of independent and identically distributed random variables. If the shape…
In this work, we develop a constructive modeling framework for extreme threshold exceedances in repeated observations of spatial fields, based on general product mixtures of random fields possessing light or heavy-tailed margins and various…
This paper considers the efficient estimation of copula-based semiparametric strictly stationary Markov models. These models are characterized by nonparametric invariant (one-dimensional marginal) distributions and parametric bivariate…
Recursive max-linear vectors model causal dependence between its components by expressing each node variable as a max-linear function of its parental nodes in a directed acyclic graph and some exogenous innovation. Motivated by extreme…
We consider the estimation of large covariance and precision matrices from high-dimensional sub-Gaussian or heavier-tailed observations with slowly decaying temporal dependence. The temporal dependence is allowed to be long-range so with…
We consider a risk-sensitive optimization of consumption-utility on infinite time horizon where the one-period investment gain depends on an underlying economic state whose evolution over time is assumed to be described by a discrete-time,…
We study the temperature dependence of the single particle spectral function as well as of the dynamical spin and charge structure factors for the one-dimensional Hubbard model using the finite temperature auxiliary field quantum Monte…
We quantify changes DeltaQ in 100-year return values for regional annual maxima and minima of near-surface atmospheric temperature from output of five CMIP6 models, for five of the Earth's desert regions, over the interval (2025,2125). We…
The Markov length was recently proposed as an information-theoretic diagnostic for quantum mixed-state phase transitions [Sang & Hsieh, Phys. Rev. Lett. 134, 070403 (2025)]. Here, we show that the Markov length diverges even under classical…
The Multivariate Extreme Value distributions have shown their usefulness in environmental studies, financial and insurance mathematics. The Logistic or Gumbel-Hougaard distribution is one of the oldest multivariate extreme value models and…
A Markov tree is a probabilistic graphical model for a random vector indexed by the nodes of an undirected tree encoding conditional independence relations between variables. One possible limit distribution of partial maxima of samples from…
The main purpose of this article is to establish moderate deviation principles for additive functionals of bifurcating Markov chains. Bifurcating Markov chains are a class of processes which are indexed by a regular binary tree. They can be…
This paper investigates extreme value theory for processes obtained by applying transformations to stationary Gaussian processes, also called subordinated Gaussian processes. The main contributions are as follows. First, we refine the…
Understanding the complex structure of multivariate extremes is a major challenge in various fields from portfolio monitoring and environmental risk management to insurance. In the framework of multivariate Extreme Value Theory, a common…
Markov models are widely used to describe processes of stochastic dynamics. Here, we show that Markov models are a natural consequence of the dynamical principle of Maximum Caliber. First, we show that when there are different possible…
This paper presents a new model for characterising temporal dependence in exceedances above a threshold. The model is based on the class of trawl processes, which are stationary, infinitely divisible stochastic processes. The model for…
We propose a coefficient that measures the dependence among large values for spatial processes of maxima. Its main properties are: a) $k$ locations can be taken into account; b) it takes values in $[0,1]$ and higher values indicate stronger…
The first order behavior of multivariate heavy-tailed random vectors above large radial thresholds is ruled by a limit measure in a regular variation framework. For a high dimensional vector, a reasonable assumption is that the support of…
Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years,…
The importance of considering contextual probabilities in shaping response patterns within psychological testing is underscored, despite the ubiquitous nature of order effects discussed extensively in methodological literature. Drawing from…