Related papers: How long should a block be?
The H\"usler-Reiss distribution describes the limit of the pointwise maxima of a bivariate normal distribution. This distribution is defined by a single parameter, $\lambda$. We provide asymptotic theory for maximum likelihood estimation of…
In multivariate extreme value analysis, the nature of the extremal dependence between variables should be considered when selecting appropriate statistical models. Interest often lies with determining which subsets of variables can take…
This paper introduces a novel approach employing extreme value theory to analyze queue lengths within a corridor controlled by adaptive controllers. We consider the maximum queue lengths of a signalized corridor consisting of nine…
The extremal index $\theta$, a measure of the degree of local dependence in the extremes of a stationary process, plays an important role in extreme value analyses. We estimate $\theta$ semiparametrically, using the relationship between the…
A statistician designing an experiment wants to get as much information as possible from the data gathered. Often this means the most precise estimate possible (that is, an estimate with minimum possible variance) of the unknown parameters.…
The pseudo-marginal (PM) approach is increasingly used for Bayesian inference in statistical models, where the likelihood is intractable but can be estimated unbiasedly. %Examples include random effect models, state-space models and data…
We describe a number of strategies for minimizing and calculating accurately the statistical uncertainty in quantum Monte Carlo calculations. We investigate the impact of the sampling algorithm on the efficiency of the variational Monte…
The analytic theory presented in Paper I is converted into a form convenient for numerical analysis. A fast and accurate code has been written using this numerical formulation. The results are presented by first defining a reference set of…
We propose a new dynamic stochastic blockmodel that focuses on the analysis of interaction lengths in networks. The model does not rely on a discretization of the time dimension and may be used to analyze networks that evolve continuously…
Finding the underlying probability distributions of a set of observed sequences under the constraint that each sequence is generated i.i.d by a distinct distribution is considered. The number of distributions, and hence the number of…
A measure of primal importance for capturing the serial dependence of a stationary time series at extreme levels is provided by the limiting cluster size distribution. New estimators based on a blocks declustering scheme are proposed and…
We use extreme value theory to estimate the probability of successive exceedances of a threshold value of a time-series of an observable on several classes of chaotic dynamical systems. The observables have either a Fr\'echet (fat-tailed)…
The asymptotic results that underlie applications of extreme random fields often assume that the variables are located on a regular discrete grid, identified with $\mathbb{Z}^2$, and that they satisfy stationarity and isotropy conditions.…
Adequate sampling is essential for the well-functioning of a market surveillance system. As small as possible statistically significant sample size is the main factor that determines the costs of market surveillance actions. This paper…
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity and dependence between increments.…
Empirical coordination offers a way to understand how agents can coordinate actions under communication constraints. This paper investigates the finite blocklength regime of this problem, where the encoder and decoder aim to produce a…
The method of maximum entropy is quite a powerful tool to solve the generalized moment problem, which consists of determining the probability density of a random variable X from the knowledge of the expected values of a few functions of the…
Flood quantile estimation is of great importance for many engineering studies and policy decisions. However, practitioners must often deal with small data available. Thus, the information must be used optimally. In the last decades, to…
Mixed modeling of extreme values and random effects is relatively unexplored topic. Computational difficulties in using the maximum likelihood method for mixed models and the fact that maximum likelihood method uses available data and does…
For many tasks of data analysis, we may only have the information of the explanatory variable and the evaluation of the response values are quite expensive. While it is impractical or too costly to obtain the responses of all units, a…