Related papers: Sharp bounds for products of dependent random vari…
We provide a simple algorithm for finding the optimal upper bound for sums of products of matrix entries of the form S_pi(N) := sum_{j_1, ..., j_2m = 1}^N t^1_{j_1 j_2} t^2_{j_3 j_4} ... t^m_{j_2m-1 j_2m} where some of the summation indices…
Inference over tails is performed by applying only the results of extreme value theory. Whilst such theory is well defined and flexible enough in the univariate case, multivariate inferential methods often require the imposition of…
We analyze the asymptotic convergence of all infinite products of matrices taken in a given finite set, by looking only at finite or periodic products. It is known that when the matrices of the set have a common nonincreasing polyhedral…
We prove explicit finite-$N$ lower bounds for $\mathbb P(\bigcup_{k=1}^N A_k)$ when the $\sigma$-algebras generated by an event sequence satisfy quantitative $\varphi$- or $\alpha$-mixing bounds. The main $\varphi$-mixing estimate is…
This paper develops sharp bounds on moments of sums of k-wise independent bounded random variables, under constrained average variance. The result closes the problem addressed in part in the previous works of Schmidt et al. and Bellare,…
The aim of this paper is to investigate extremum problems with pay-off being the total variational distance metric defined on the space of probability measures, subject to linear functional constraints on the space of probability measures,…
We establish explicit, universal, and distribution-free bounds for the $n$-th cumulant, $\kappa_n(X)$, of a scalar random variable, controlled solely by an $n$-th order absolute moment functional $M_n(X)$. The bounds take the form…
The uncertainty relation for continuous variables due to Byalinicki-Birula and Mycielski expresses the complementarity between two $n$-uples of canonically conjugate variables $(x_1,x_2,\cdots x_n)$ and $(p_1,p_2,\cdots p_n)$ in terms of…
We develop robust pricing and hedging of a weighted variance swap when market prices for a finite number of co--maturing put options are given. We assume the given prices do not admit arbitrage and deduce no-arbitrage bounds on the weighted…
Models based on assumptions of multivariate regular variation and hidden regular variation provide ways to describe a broad range of extremal dependence structures when marginal distributions are heavy tailed. Multivariate regular variation…
We give a sharp upper bound on the multiplicity of a fake weighted projective space with at worst canonical singularities. This is equivalent to giving a sharp upper bound on the index of the sublattice generated by the vertices of a…
In the first part, we derive monotonicity of the normalized spectra for the second-order Steklov problem and two fourth-order Steklov problems on the $2$-dimensional geodesic disks with respect to the geodesic radius in the sphere and the…
The theory of mixed finite element methods for solving different types of elliptic partial differential equations in saddle point formulation is well established since many decades. This topic was mostly studied for variational formulations…
We study best-policy identification for finite-horizon risk-sensitive reinforcement learning under the entropic risk measure. Recent work established a constant gap in the exponential horizon dependence between lower and upper bounds on the…
We show that all multivariate Extreme Value distributions, which are the possible weak limits of the $K$ largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through…
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…
Proving complexity lower bounds remains a challenging task: we only know how to prove conditional uniform lower bounds and nonuniform lower bounds in restricted circuit models. Williams (STOC 2010) showed how to derive nonuniform lower…
For independent $X$ and $Y$ in the inequality $P(X\leq Y+\mu)$, we give sharp lower bounds for unimodal distributions having finite variance, and sharp upper bounds assuming symmetric densities bounded by a finite constant. The lower bounds…
The angular measure on the unit sphere characterizes the first-order dependence structure of the components of a random vector in extreme regions and is defined in terms of standardized margins. Its statistical recovery is an important step…
We address the problem of finding worst-case nonparametric bounds for T-statistic by considering the extremal problem of maximising the mid-quantile (a special case of 'smoothed quantile' as discussed in \cite{St77} and \cite{W11}) $\tilde…