Related papers: Extreme Value Statistics and Traveling Fronts: Var…
The purpose of this note is twofold: firstly to improve the known results on variation of extreme eigenvalues of birth and death matrices and random walk matrices; and secondly to progress towards the solution of a thirty years old open…
The extremal characteristics of random structures, including trees, graphs, and networks, are discussed. A statistical physics approach is employed in which extremal properties are obtained through suitably defined rate equations. A variety…
In environmental applications of extreme value statistics, the underlying stochastic process is often modeled either as a max-stable process in continuous time/space or as a process in the domain of attraction of such a max-stable process.…
Optimal transport has become part of the standard quantitative economics toolbox. It is the framework of choice to describe models of matching with transfers, but beyond that, it allows to: extend quantile regression; identify discrete…
We show that generalised extreme value statistics -the statistics of the k-th largest value among a large set of random variables- can be mapped onto a problem of random sums. This allows us to identify classes of non-identical and…
A pervasive issue in statistical hypothesis testing is that the reported $p$-values are biased downward by data "peeking" -- the practice of reporting only progressively extreme values of the test statistic as more data samples are…
Motivated by the emergence of popular service-based two-sided markets where sellers can serve multiple buyers at the same time, we formulate and study the {\em two-sided cost sharing} problem. In two-sided cost sharing, sellers incur…
We introduce the concept of geometric extremal graphical models, which are defined through the gauge function of the limit set obtained from suitably scaled random vectors in light-tailed margins. For block graphs, we prove results relating…
This book provides a comprehensive introduction for the study of extreme events in the context of dynamical systems. The introduction provides a broad overview of the interdisciplinary research area of extreme events, underlining its…
Vehicle routing problems have been the focus of extensive research over the past sixty years, driven by their economic importance and their theoretical interest. The diversity of applications has motivated the study of a myriad of problem…
Extreme value functionals of stochastic processes are inverse functionals of the first passage time -- a connection that renders their probability distribution functions equivalent. Here, we deepen this link and establish a framework for…
For a bivariate random vector (X,Y), symmetry conditions are presented that yield stochastic orderings among |X|, |Y|, |max(X,Y)|, and | min(X, Y)|. Partial extensions of these results for multivariate random vectors (X1,...,Xn) are also…
Capturing the extremal behaviour of data often requires bespoke marginal and dependence models which are grounded in rigorous asymptotic theory, and hence provide reliable extrapolation into the upper tails of the data-generating…
For this special issue, the article aims at discussing a few econophysics problems studied so far rather successfully. The following "applications" in micro-econo-physics are considered : (i) financial crashes; it is emphasized that one can…
Transport-based techniques for signal and data analysis have received increased attention recently. Given their abilities to provide accurate generative models for signal intensities and other data distributions, they have been used in a…
This paper has a double goal, the first one is to make a slight survey of some theoretical results about the existence of positively invariant curves that allow to describe important properties of the set of bounded orbits and its boundary…
The statistics of records in sequences of independent, identically distributed random variables is a classic subject of study. One of the earliest results concerns the stochastic independence of record events. Recently, records statistics…
Optimal transport has been used to define bijective nonlinear transforms and different transport-related metrics for discriminating data and signals. Here we briefly describe the advances in this topic with the main applications and…
Applying a modification of Extreme value Theory (thanks to a dual distribution technique by the authors on data over the past 2,500 years, we show that pandemics are extremely fat-tailed in terms of fatalities, with a marked potentially…
We solve two continuous extremal problems on the classes of monotone functions: in the first problem we find extremal values for a line integral of a coordinate-wise monotone function of two variables from a rearrange\-ment-invariant class…