Related papers: Self-normalized partial sums of heavy-tailed time …
A functional limit theorem for the partial maxima of a long memory stable sequence produces a limiting process that can be described as a $\beta$-power time change in the classical Fr\'echet extremal process, for $\beta$ in a subinterval of…
We derive tests of stationarity for univariate time series by combining change-point tests sensitive to changes in the contemporary distribution with tests sensitive to changes in the serial dependence. The proposed approach relies on a…
We study Edgeworth expansions in limit theorems for self-normalized sums. Non-uniform bounds for expansions in the central limit theorem are established while only imposing minimal moment conditions. Within this result, we address the case…
The key to successful statistical analysis of bivariate extreme events lies in flexible modelling of the tail dependence relationship between the two variables. In the extreme value theory literature, various techniques are available to…
Assume that claims in a portfolio of insurance contracts are described by independent and identically distributed random variables with regularly varying tails and occur according to a near mixed Poisson process. We provide a collection of…
We investigate the invariance principle for set-indexed partial sums of a stationary field $(X\_{k})\_{k\in\mathbb{Z}^{d}}$ of martingale-difference or independent random variables under standard-normalization or self-normalization…
The asymptotic tail behaviour of sums of independent subexponential random variables is well understood, one of the main characteristics being the principle of the single big jump. We study the case of dependent subexponential random…
A variety of estimators for the parameters of the Generalized Pareto distribution, the approximating distribution for excesses over a high threshold, have been proposed, always assuming the underlying data to be independent. We recently…
We investigate asymptotic behaviour of probabilities of large deviations for normalized combinatorial sums. We find a zone in which these probabilities are equivalent to the tail of the standard normal law. Our conditions are similar to the…
In this paper we study maximal $L^p$-regularity for evolution equations with time-dependent operators $A$. We merely assume a measurable dependence on time. In the first part of the paper we present a new sufficient condition for the…
We study the asymptotic behaviour of different statistics for time series exhibiting long memory and nonstationarity. For processes with memory parameter $d\in(-1/2,3/2)$, we derive the joint limiting distribution of discrete Fourier…
We provide a general approach to Lipschitz regularity of solutions for a large class of vector-valued, nonautonomous variational problems exhibiting nonuniform ellipticity. The functionals considered here range amongst those with unbalanced…
The absolute moments of probability distributions are much more complicated than conventional ones. By using a direct and simpler approach, we retreat P. L. Hsu's (1951, J. Chinese Math. Soc., Vol. 1, pp. 257-280) formulas in terms of the…
In this paper we study the joint distributional convergence of the largest eigenvalues of the sample covariance matrix of a $p$-dimensional time series with iid entries when $p$ converges to infinity together with the sample size $n$. We…
The local regularity of functional time series is studied under $L^p-m-$appro\-ximability assumptions. The sample paths are observed with error at possibly random design points. Non-asymptotic concentration bounds of the regularity…
We completely characterize $\Delta$- and local subexponentialities of positive-half compound Poisson distributions and extend the characterization on two-sided distributions. Moreover, $\Delta$-subexponentiality of infinitely divisible…
In this Note, we describe the stationary equilibria and the asymptotic behaviour of an heterogeneous logistic reaction-diffusion equation under the influence of autonomous or time-periodic forcing terms. We show that the study of the…
(This is the third version of a working paper.) We develop a family of self-normalized concentration inequalities for marginal mean under martingale-difference structure and $\phi/\tilde{\phi}$-mixing conditions, where the latter includes…
We investigate extreme value theory of a class of random sequences defined by the all-time suprema of aggregated self-similar Gaussian processes with trend. This study is motivated by its potential applications in various areas and its…
We study the joint limit distribution of the $k$ largest eigenvalues of a $p\times p$ sample covariance matrix $XX^\T$ based on a large $p\times n$ matrix $X$. The rows of $X$ are given by independent copies of a linear process,…