Related papers: Tail Dependence of Multivariate Archimedean Copula…
In this paper we derive the tail asymptotics of the product of two dependent Weibull-type risks, which is of interest in various statistical and applied probability problems. Our results extend some recent findings of Schlueter and Fischer…
Under scenario of high frequency data, consistent estimator of realized Laplace transform of volatility is proposed by \citet{TT2012a} and related central limit theorem has been well established. In this paper, we investigate the asymptotic…
In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the…
Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins…
Let $K$ be a number field, and let $K(x_1,...,x_d)$ be the field of rational fractions in the variables $x_1,...,x_d$. In this paper, we introduce two kinds of Laplace transform adapted to solutions of the differential…
In this paper we introduce some new copulas emerging from shock models. It was shown earlier that reflected maxmin copulas (RMM for short) are not just some specific singular copulas; they contain many important absolutely continuous…
We propose a new measure related with tail dependence in terms of correlation: quantile correlation coefficient of random variables X, Y. The quantile correlation is defined by the geometric mean of two quantile regression slopes of X on Y…
In this paper, we introduce a new class of models for spatial data obtained from max-convolution processes based on indicator kernels with random shape. We show that this class of models have appealing dependence properties including tail…
We study the joint limit behavior of sums, maxima and $\ell^p$-type moduli for samples taken from an $\mathbb{R}^d$-valued regularly varying stationary sequence with infinite variance. As a consequence, we can determine the distributional…
We propose a stochastic process driven by memory effect with novel distributions including both exponential and leptokurtic heavy-tailed distributions. A class of distribution is analytically derived from the continuum limit of the discrete…
Exponential, and not Gaussian, decay of probability density functions was studied by Laplace in the context of his analysis of errors. Such Laplace propagators for the diffusive motion of single particles in disordered media were recently…
We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable and optional…
In this paper, we characterize the extremal dependence of $d$ asymptotically dependent variables by a class of random vectors on the $(d-1)$-dimensional hyperplane perpendicular to the diagonal vector $\mathbf1=(1,\ldots,1)$. This…
Multivariate rapid variation describes decay rates of joint light tails of a multivariate distribution. We impose a local uniformity condition to control decay variation of distribution tails along different directions, and using…
We estimate up to universal constants tails of symmetric and totally asymmetric 1-dimensional $\alpha$-stable distributions in terms of functions of the parameters of these distributions. In particular, for values of $\alpha$ close to $2$…
We establish the one-to one bilateral interrelations between an asymptotic behavior for the tail of distributions for random variables and its great moments evaluation. Our results generalize the famous Richter's ones.
We observe that approximate copies of the function $\Lambda _{n}:\mathbb{R}^{n}\rightarrow (0,\infty )$ defined by \begin{equation*} \Lambda _{n}(x)=\exp \left( -x_{1}-\pi \sum_{i=2}^{n}x_{i}^{2}\right) \end{equation*} appear in the tails…
Inspired by Jaming's characterization of the Fourier transform on specific groups via the convolution property, we provide a novel approach which characterizes the Fourier transform on any locally compact abelian group. In particular, our…
We consider stationary sequences whose marginal tail is subexponential and lies in the Gumbel Maximum domain of attraction. Due to the extremely strong dependence, their extreme values are caused by multiple big values and are clustered in…
We determine the asymptotic behaviour of eigenvalues of clamped plates under large compression, by relating this problem to eigenvalues of the Laplacian with Robin boundary conditions. Using the method of fundamental solutions, we then…