Related papers: On the multivariate multifractal formalism: exampl…
The estimation of the extremal dependence structure is spoiled by the impact of the bias, which increases with the number of observations used for the estimation. Already known in the univariate setting, the bias correction procedure is…
For a family of fractal measures, we find an explicit Fourier duality. The measures in the pair have compact support in $\br^d$, and they both have the same matrix scaling. But the two use different translation vectors, one by a subset $B$…
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…
Empirical time series of inter-event or waiting times are investigated using a modified Multifractal Detrended Fluctuation Analysis operating on fluctuations of mean detrended dynamics. The core of the extended multifractal analysis is the…
We present a novel method for determining multi-fractal properties from experimental data. It is based on maximising the likelihood that the given finite data set comes from a particular set of parameters in a multi-parameter family of well…
This paper develops some objective priors for certain parameters of the bivariate normal distribution. The parameters considered are the regression coefficient, the generalized variance, and the ratio of the conditional variance of one…
We introduce the notion of Bartlett spectral measure for isometrically invariant random measures on proper metric commutative spaces. When the underlying Gelfand pair corresponds to a higher-rank, connected, simple matrix Lie group with…
Given a distribution in the unite square and having iid sample from it the first question what a statistician might do to test the hypothesis that the sample is iid. For this purpose an extension of the Plancherel measure is introduced.…
Consider a random sample from a bivariate distribution function $F$ in the max-domain of attraction of an extreme-value distribution function $G$. This $G$ is characterized by two extreme-value indices and a spectral measure, the latter…
Let $\nu_\lambda^p$ be the distribution of the random series $\sum_{n=1}^\infty i_n \lambda^n$, where $i_n$ is a sequence of i.i.d. random variables taking the values 0,1 with probabilities $p,1-p$. These measures are the well-known…
We introduce the boolean convolution for probability measures on the unit circle. Roughly speaking, it describes the distribution of the product of two boolean independent unitary random variables. We find an analogue of the characteristic…
Any ergodic measure of a smooth map on a compact manifold has a multifractal spectrum with one point - the dimension of the measure itself - at the diagonal. We will construct examples where this fails in the most drastic way for invariant…
Multivariate normal mixtures provide a flexible model for high-dimensional data. They are widely used in statistical genetics, statistical finance, and other disciplines. Due to the unboundedness of the likelihood function, classical…
We consider a real random variable X represented through a random pair of real random variables (R,T) and a deterministic function u as X=Ru(T). Under some additional assumptions, we prove a limit theorem for (R,T) given X>x, as x tends to…
The tip multifractal spectrum of a two-dimensional curve is one way to describe the behavior of the uniformizing conformal map of the complement near the tip. We give the tip multifractal spectrum for a Schramm-Loewner evolution (SLE)…
We propose a multivariate probability distribution that models a linear correlation between binary and continuous variables. The proposed distribution is a natural extension of the previously developed multivariate binary distribution. As…
Marginal expected shortfall is unquestionably one of the most popular systemic risk measures. Studying its extreme behaviour is particularly relevant for risk protection against severe global financial market downturns. In this context,…
In our companion paper "Multidimensional rational covariance extension with applications to spectral estimation and image compression" we discussed the multidimensional rational covariance extension problem (RCEP), which has important…
We provide a multifractal analysis of lacunary wavelet series on Cantor sets. Byintroducing a desynchronization between the scales of the wavelets and the scales of the steps of the construction of the Cantor set, we obtain random processes…
We give a survey on b-function, spectrum, and multiplier ideals together with certain interesting relations among them including the case of arbitrary subvarieties.