Related papers: Tail Measures and Regular Variation

We define a model for rank one measure preserving transformations in the sense of [2]. This is done by defining a new Polish topology on the space of codes, which are infinite rank one words, for symbolic rank one systems. We establish that…

The joint Value at Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2017) is extended via incorporating a realized measure, to drive the tail risk dynamics, as a potentially more efficient driver than daily…

Consider a BV function on a Riemannian manifold. What is its differential? And what about the Hessian of a convex function? These questions have clear answers in terms of (co)vector/matrix valued measures if the manifold is the Euclidean…

Current theories of spiral and bar structure predict a variety of pattern speed behaviors, calling for detailed, direct measurement of the radial variation of pattern speeds. Our recently developed Radial Tremaine-Weinberg (TWR) method…

We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of…

We propose a variational tail bound for norms of random vectors under moment assumptions on their one-dimensional marginals. A simplified version of the bound that parametrizes the ``aggregating distribution'' using a certain pushforward of…

The notion of tail adversarial stability has been proven useful in obtaining limit theorems for tail dependent time series. Its implication and advantage over the classical strong mixing framework has been examined for max-linear processes,…

We study random walks on a $d$-dimensional torus by affine expanding maps whose linear parts commute. Assuming an irrationality condition on their translation parts, we prove that the Haar measure is the unique stationary measure. We deduce…

Modal regression, a widely used regression protocol, has been extensively investigated in statistical and machine learning communities due to its robustness to outliers and heavy-tailed noises. Understanding modal regression's theoretical…

Regular variation is a continuous-parameter theory; we work in a general setting, containing the existing Karamata, Bojanic-Karamata/de Haan and Beurling theories as special cases. We give sequential versions of the main theorems, that is,…

Under suitable requirements on a kernel on a locally compact space, we develop a theory of inner (outer) balayage of quite general Radon measures $\omega$ (not necessarily of finite energy) onto quite general sets (not necessarily closed).…

We propose a covariance stationarity test for an otherwise dependent and possibly globally non-stationary time series. We work in a generalized version of the new setting in Jin, Wang and Wang (2015), who exploit Walsh (1923) functions in…

Stellar activity due to different processes (magnetic activity, photospheric flows) affects the measurement of radial velocities (RV). Radial velocities have been widely used to detect exoplanets, although the stellar signal significantly…

There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the…

We propose to derive deviation measures through the Minkowski gauge of a given set of acceptable positions. We show that, given a suitable acceptance set, any positive homogeneous deviation measure can be accommodated in our framework. In…

This article characterizes topological duals of spaces of cadlag processes. We obtain extensions of functional analytic results of Dellacherie and Meyer that underlie many fundamental results in stochastic analysis. In particular, we obtain…

We show that up to a null set, every infinite measure-preserving action of a locally compact Polish group can be turned into a continuous measure-preserving action on a locally compact Polish space where the underlying measure is Radon. We…

Regular variation provides a convenient theoretical framework to study large events. In the multivariate setting, the dependence structure of the positive extremes is characterized by a measure - the spectral measure - defined on the…

Risk-averse reinforcement learning (RARL) is critical for decision-making under uncertainty, which is especially valuable in high-stake applications. However, most existing works focus on risk measures, e.g., conditional value-at-risk…

We study an apparently new question about the behaviour of Weyl sums on a subset $\mathcal{X}\subseteq [0,1)^d$ with a natural measure $\mu$ on $\mathcal{X}$. For certain measure spaces $(\mathcal{X}, \mu)$ we obtain non-trivial bounds for…