Related papers: Extreme Limit Theory of Competing Risks under Powe…
The heavy-tailed behavior of the generalized extreme-value distribution makes it a popular choice for modeling extreme events such as floods, droughts, heatwaves, wildfires, etc. However, estimating the distribution's parameters using…
This article considers exponential families of truncated multivariate normal distributions with one-sided truncation for some or all coordinates. We observe that if all components are one-sided truncated then this family is not full. The…
We study the statistics of the maximum and minimum of a set of $N$ random variables whose dynamical and statistical properties fall within the scope of infinite ergodic theory. These non-stationary yet recurrent systems are described, in…
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…
This paper proposes maximum (quasi)likelihood estimation for high dimensional factor models with regime switching in the loadings. The model parameters are estimated jointly by the EM (expectation maximization) algorithm, which in the…
Platform giants in China have operated with persistently compressed margins in highly concentrated markets for much of the past decade, despite market shares exceeding 60\% in core segments. Standard theory predicts otherwise: either the…
Understanding multivariate extreme events play a crucial role in managing the risks of complex systems since extremes are governed by their own mechanisms. Conditional on a given variable exceeding a high threshold (e.g.\ traffic…
We study the distribution of dynamical quantities in various one-dimensional, disordered models the critical behavior of which is described by an infinite randomness fixed point. In the {\it disordered contact process}, the quenched…
The vanilla method in univariate extreme-value theory consists of fitting the three-parameter Generalized Extreme-Value (GEV) distribution to a sample of block maxima. Despite claims to the contrary, the asymptotic normality of the maximum…
Dynamic processes on networks are fundamental to understanding modern-day phenomena such as information diffusion and opinion polarization on the internet or epidemics spreading through society. However, such processes are notoriously…
Limits of densities belonging to an exponential family appear in many applications, {e.g.} Gibbs models in Statistical Physics, relaxed combinatorial optimization, coding theory, critical likelihood computations, Bayes priors with singular…
We consider the classical problem of learning, with arbitrary accuracy, the natural parameters of a $k$-parameter truncated \textit{minimal} exponential family from i.i.d. samples in a computationally and statistically efficient manner. We…
In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values is unavailable. This research was motivated by an analysis of the degree distributions in a large social network. The degree…
Kappa distributions are widely used in space plasma physics to model velocity distribution functions with heavy tails. Parameter estimation in these distributions is, however, complicated by the fact that the kappa distribution does not…
In this paper a new decision theoretic sampling plan (DSP) is proposed for Type-I censored exponential distribution. The proposed DSP is based on a new estimator of the expected lifetime of an exponential distribution which always exists,…
We present a generalization of the maximal inequalities that upper bound the expectation of the maximum of $n$ jointly distributed random variables. We control the expectation of a randomly selected random variable from $n$ jointly…
A striking result of [Acharya et al. 2017] showed that to estimate symmetric properties of discrete distributions, plugging in the distribution that maximizes the likelihood of observed multiset of frequencies, also known as the profile…
We study the extreme events taking place on complex networks. The transport on networks is modelled using random walks and we compute the probability for the occurance and recurrence of extreme events on the network. We show that the nodes…
A characterization of the exponential distribution based on equidistribution conditions for maxima of random samples with consecutive sizes n-1 and n for an arbitrary and fixed n>2 is proved. This solves an open problem stated recently in…
A key aspect where extreme values methods differ from standard statistical models is through having asymptotic theory to provide a theoretical justification for the nature of the models used for extrapolation. In multivariate extremes many…