Related papers: The extremal landscape for the C$\beta$E ensemble
In this paper we investigate the extremal properties of the sum $$\sum_{i=1}^n|MA_i|^{\lambda},$$ where $A_i$ are vertices of a regular simplex, a cross-polytope (orthoplex) or a cube and $M$ varies on a sphere concentric to the sphere…
The behavior of extreme observations is well-understood for time series or spatial data, but little is known if the data generating process is a structural causal model (SCM). We study the behavior of extremes in this model class, both for…
We consider a stationary random field indexed by an increasing sequence of subsets of $\mathbb{Z}^d$ obeying a very broad geometrical assumption on how the sequence expands. Under certain mixing and local conditions, we show how the tail…
To a finite dimensional representation of a complex Lie group $G$, an associative algebra of adjoint covariant polynomial maps from the direct sum of $m$ copies of the Lie algebra $\mathfrak{g}$ of $G$ into an algebra of complex matrices is…
We shall present an elementary approach to extremal decompositions of (quantum) covariance matrices determined by densities. We give a new proof on former results and provide a sharp estimate of the ranks of the densities that appear in the…
In this article we show the relationship between the Pareto distribution and the gamma distribution. This shows that the second one, appropriately extended, explains some anomalies that arise in the practical use of extreme value theory.…
Economic and ecological models can be extremely complex, with a large number of agents/species each featuring multiple interacting dynamical quantities. In an attempt to understand the generic stability properties of such systems, we define…
Fluctuations of global additive quantities, like total energy or magnetization for instance, can in principle be described by statistics of sums of (possibly correlated) random variables. Yet, it turns out that extreme values (the largest…
We give a parametrization for crystal bases of Demazure modules as a set of lattice points in some convex polytope and we also describe explicitly the extremal vectors as solutions of some system of linear equations.
We derive exact results for gap probabilities, as well as densities of extreme eigenvalues for six complex random matrix ensembles of fundamental importance. These are Gauss-Wigner, Laguerre-Wishart, Cauchy-Lorentz (two variants),…
The main approach to inference for multivariate extremes consists in approximating the joint upper tail of the observations by a parametric family arising in the limit for extreme events. The latter may be expressed in terms of…
We calculate analytically the probability of large deviations from its mean of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary and symplectic ensembles. In particular, we show that the…
The statistical distribution of the largest value drawn from a sample of a given size has only three possible shapes: it is either a Weibull, a Fr\'echet or a Gumbel extreme value distributions. I describe in this short review how to relate…
We study the singular values of certain triangular random matrices. When their elements are i.i.d. standard complex Gaussian random variables, the squares of the singular values form a biorthogonal ensemble, and with an appropriate change…
In this paper, asymptotic expansions of the distributions and densities of powered extremes for Maxwell samples are considered. The results show that the convergence speeds of normalized partial maxima relies on the powered index.…
This paper introduces a new method of discretization that collocates both endpoints of the domain and enables the complete convergence of the costate variables associated with the Hamilton boundary-value problem. This is achieved through…
We provide a theoretical treatment of over-specified Gaussian mixtures of experts with covariate-free gating networks. We establish the convergence rates of the maximum likelihood estimation (MLE) for these models. Our proof technique is…
We investigate the characteristic polynomials of the Gaussian $\beta$-ensemble for general $\beta>0$ through its transfer matrix recurrence. We show that the rescaled characteristic polynomial converges to a random entire function in a…
We show that ''almost all'' exceptional modules over wild canonical algebra $\Lambda$ can be described by matrices having coefficients $\lambda_i-\lambda_j$, where $\lambda_i, \lambda_j$ are elements from the parameter sequence. The proof…
In this article, we study the largest gaps of the classical random matrices of CUE and GUE, and show that after rescaling, the limiting densities are given by the Gumbel distributions.