Related papers: Breaking Multivariate Records
In this paper we introduce a novel approach for an important problem of break detection. Specifically, we are interested in detection of an abrupt change in the covariance structure of a high-dimensional random process -- a problem, which…
We consider non-parametric estimation and inference of conditional moment models in high dimensions. We show that even when the dimension $D$ of the conditioning variable is larger than the sample size $n$, estimation and inference is…
For a partial structural change in a linear regression model with a single break, we develop a continuous record asymptotic framework to build inference methods for the break date. We have T observations with a sampling frequency h over a…
We propose a novel nonparametric online predictor for discrete labels conditioned on multivariate continuous features. The predictor is based on a feature space discretization induced by a full-fledged k-d tree with randomly picked…
We propose a test of many zero parameter restrictions in a high dimensional linear iid regression model with $k$ $>>$ $n$ regressors. The test statistic is formed by estimating key parameters one at a time based on many low dimension…
Let $I$ be an independent set drawn from the discrete $d$-dimensional hypercube $Q_d=\{0,1\}^d$ according to the hard-core distribution with parameter $\lambda>0$ (that is, the distribution in which each independent set $I$ is chosen with…
The dispersion of a point set $P\subset[0,1]^d$ is the volume of the largest box with sides parallel to the coordinate axes, which does not intersect $P$. Here, we show a construction of low-dispersion point sets, which can be deduced from…
We consider the moving particle process in Rd which is defined in the following way. There are two independent sequences (Tk) and (dk) of random variables. The variables Tk are non negative and form an increasing sequence, while variables…
We consider the occurrence of record-breaking events in random walks with asymmetric jump distributions. The statistics of records in symmetric random walks was previously analyzed by Majumdar and Ziff and is well understood. Unlike the…
A multivariate, stationary time series is said to be jointly regularly varying if all its finite-dimensional distributions are multivariate regularly varying. This property is shown to be equivalent to weak convergence of the conditional…
We investigate the statistics of records in a random sequence $\{x_B(0)=0,x_B(1),\cdots, x_B(n)=x_B(0)=0\}$ of $n$ time steps. The sequence $x_B(k)$'s represents the position at step $k$ of a random walk `bridge' of $n$ steps that starts…
An invariant ensemble of $N\times N$ random matrices can be characterised by a joint distribution for eigenvalues $P(\lambda_1,\cdots,\lambda_N)$. The study of the distribution of linear statistics, i.e. of quantities of the form…
Finding the underlying probability distributions of a set of observed sequences under the constraint that each sequence is generated i.i.d by a distinct distribution is considered. The number of distributions, and hence the number of…
In the setting of multidimensional diffusions in random environment, we carry on the investigation of condition $(T')$, introduced by Sznitman [Ann. Probab. 29 (2001) 723--764] and by Schmitz [Ann. Inst. H. Poincar\'{e} Probab. Statist. 42…
We address the problem of detecting a change in the distribution of a high-dimensional multivariate normal time series. Assuming that the post-change parameters are unknown and estimated using a window of historical data, we extend the…
In this paper, we investigate inaccuracy measures based on record values, focusing on the relationship between the distribution of the n-th upper and lower k-record values and the parent distribution. We extend the classical Kerridge…
The extremal dependence structure of a regularly varying $d$-dimensional random vector can be described by its angular measure. The standard nonparametric estimator of this measure is the empirical measure of the observed angles of the $k$…
We investigate the spontaneous parity-time (PT )-symmetry breaking and spectral properties of a PT symmetric quantum kicked rotor under resonance conditions. At resonance, the QKR reduces to a finite-dimensional system. In the localized…
Suppose some random resource (energy, mass or space) $\chi \geq 0$ is to be shared at random between (possibly infinitely many) species (atoms or fragments). Assume ${\Bbb E}\chi =\theta <\infty $ and suppose the amount of the individual…
We study asymptotic behavior of the moments $M_k(\lambda)$ of the sum $X_1+\dots+X_{N_\lambda}$, where $N_\lambda$ follows the Poisson probability distribution with mean value $\lambda$ and $\{X_j\}$ is a family of i.i.d. random variables…