Related papers: Sharp Large Deviations and Gibbs Conditioning for …

We consider the probability that a weighted sum of $n$ i.i.d. random variables $X_j$, $j = 1, . . ., n$, with stretched exponential tails is larger than its expectation and determine the rate of its decay, under suitable conditions on the…

The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual…

Tail Value-at-Risk (TVaR) is a widely adopted risk measure playing a critically important role in both academic research and industry practice in insurance. In data applications, TVaR is often estimated using the empirical method, owing to…

We study conditional generation in diffusion models under hard constraints, where generated samples must satisfy prescribed events with probability one. Such constraints arise naturally in safety-critical applications and in rare-event…

To disentangle the complex non-stationary dependence structure of precipitation extremes over the entire contiguous U.S., we propose a flexible local approach based on factor copula models. Our sub-asymptotic spatial modeling framework…

Determining the number of factors in high-dimensional factor modeling is essential but challenging, especially when the data are heavy-tailed. In this paper, we introduce a new estimator based on the spectral properties of Spearman sample…

We develop a Bayesian spatio-temporal framework for extreme-value analysis that augments a hierarchical copula model with an autoregressive factor to capture residual temporal dependence in threshold exceedances. The factor can be specified…

Big data can easily be contaminated by outliers or contain variables with heavy-tailed distributions, which makes many conventional methods inadequate. To address this challenge, we propose the adaptive Huber regression for robust…

The long-term behavior of a supercritical branching random walk can be described and analyzed with the help of Biggins' martingales, parametrized by real or complex numbers. The study of these martingales with complex parameters is a rather…

We study tail probabilities via some Gaussian approximations. Our results make refinements to large deviation theory. The proof builds on classical results by Bahadur and Rao. Binomial distributions and their tail probabilities are…

We consider non-convex stochastic optimization using first-order algorithms for which the gradient estimates may have heavy tails. We show that a combination of gradient clipping, momentum, and normalized gradient descent yields convergence…

In recent years, the shortcomings of Bayesian posteriors as inferential devices have received increased attention. A popular strategy for fixing them has been to instead target a Gibbs measure based on losses that connect a parameter of…

Confounding variables are a recurrent challenge for causal discovery and inference. In many situations, complex causal mechanisms only manifest themselves in extreme events, or take simpler forms in the extremes. Stimulated by data on…

In some applied scenarios, the availability of complete data is restricted, often due to privacy concerns; only aggregated, robust and inefficient statistics derived from the data are made accessible. These robust statistics are not…

The extreme value dependence of regularly varying stationary time series can be described by the spectral tail process. Drees, Segers and Warchol [Extremes 18(3): 369--402, 2015] proposed estimators of the marginal distributions of this…

Large deviations principle is obtained for terminating multidimensional compound renewal processes. We also obtained the asymptotic of large deviations for the case when a Gibbs change of the original probability measure takes place. The…

We consider a class of chance-constrained programs in which profit needs to be maximized while enforcing that a given adverse event remains rare. Using techniques from large deviations and extreme value theory, we show how the optimal value…

Flexible spatial models that allow transitions between tail dependence classes have recently appeared in the literature. However, inference for these models is computationally prohibitive, even in moderate dimensions, due to the necessity…

For a risk vector $V$, whose components are shared among agents by some random mechanism, we obtain asymptotic lower and upper bounds for the individual agents' exposure risk and the aggregated risk in the market. Risk is measured by…

Random walk models with log-normal outcomes fit local market observations remarkably well. Yet interconnected or recursive structures - layered derivatives, leveraged positions, iterative funding rounds - periodically produce power-law…