Related papers: The extremal landscape for the C$\beta$E ensemble
We re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as reciprocal of the expected size of an extremal cluster above high thresholds. We focus on heavy-tailed time series, in particular on regularly…
Recent theoretical studies of chaotic scattering have encounted ensembles of random matrices in which the eigenvalue probability density function contains a one-body factor with an exponent proportional to the number of eigenvalues. Two…
Let $\Lambda$ be the limiting smallest eigenvalue in the general (\beta, a)-Laguerre ensemble of random matrix theory. Here \beta>0, a >-1; for \beta=1,2,4 and integer a, this object governs the singular values of certain rank n Gaussian…
The areal modeling of the extremes of a natural process such as rainfall or temperature is important in environmental statistics; for example, understanding extreme areal rainfall is crucial in flood protection. This article reviews recent…
These lectures provide an informal introduction into the notions and tools used to analyze statistical properties of eigenvalues of large random Hermitian matrices. After developing the general machinery of orthogonal polynomial method, we…
In this paper, we consider partial sums of martingale differences weighted by random variables drawn uniformly on the sphere, and globally independent of the martingale differences. Combining Lindeberg's method and a series of arguments due…
We consider point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show convergence of the maximum random walk to the Gumbel or the…
We give a characterization for the extreme points of the convex set of correlation matrices with a countable index set. A Hermitian matrix is called a correlation matrix if it is positive semidefinite with unit diagonal entries. Using the…
The distribution of the spacing, or the difference between consecutive order statistics, is known only for uniform and exponential random variates. We add here logistic and Gumbel variates, and present an estimator for distributions with a…
Let $\MP_d$ denote the space of polynomials $f: \C \to \C$ of degree $d\geq 2$, modulo conjugation by $\Aut(\C)$. Using properties of polynomial trees (as introduced in [DM, math.DS/0608759]), we show that if $f_n$ is a divergent sequence…
We provide a complete and explicit characterization of the exposed extreme rays of the cone of sums of nonnegative circuit (SONC) polynomials. The criterion we derive is purely combinatorial and depends only on the existence of certain…
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…
In this paper, we consider the tail probabilities of extremals of $\beta$-Jacobi ensemble which plays an important role in multivariate analysis. The key steps in constructing estimators rely on the rate functions of large deviations.…
We introduce a directed, weighted random graph model, where the edge-weights are independent and beta-distributed with parameters depending on their endpoints. We will show that the row- and column-sums of the transformed edge-weight matrix…
The skew-normal and related families are flexible and asymmetric parametric models suitable for modelling a diverse range of systems. We show that the multivariate maximum of a high-dimensional extended skew-normal random sample has…
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…
We consider the universality of the nearest neighbour eigenvalue spacing distribution in invariant random matrix ensembles. Focussing on orthogonal and symplectic invariant ensembles, we show that the empirical spacing distribution…
A fundamental concept in optimal transport is c-cyclical monotonicity: it allows to link the optimality of transport plans to the geometry of their support sets. Recently, related concepts have been successfully applied in the…
A frame template over a field $\mathbb F$ describes the precise way in which a given $\mathbb F$-representable matroid is close to being a frame matroid. Our main result determines the maximum-rank projective or affine geometry that is…
We argue that the freezing transition scenario, previously explored in the statistical mechanics of 1/f-noise random energy models, also determines the value distribution of the maximum of the modulus of the characteristic polynomials of…