Related papers: Optimal tail estimates for directed last passage s…
We derive in this short report the exact exponential decreasing tail of distribution for naturel normed sums of independent centered random variables (r.v.), applying the theory of Grand Lebesgue Spaces (GLS). We consider also some…
In this paper, we investigate the extreme-value methodology, to propose an improved estimator of the conditional tail expectation ($CTE$) for a loss distribution with a finite mean but infinite variance. The present work introduces a new…
In this paper we consider the geodesic tree in exponential last passage percolation. We show that for a large class of initial conditions around the origin, the line-to-point geodesic that terminates in a cylinder of width $o(N^{2/3})$ and…
We consider the system of one-sided reflected Brownian motions which is in variational duality with Brownian last passage percolation. We show that it has integrable transition probabilities, expressed in terms of Hermite polynomials and…
This paper establishes the functional convergence of the Extreme Nelson--Aalen and Extreme Kaplan--Meier estimators, which are designed to capture the heavy-tailed behaviour of censored losses. The resulting limit representations can be…
We study the full distribution $P_M(S)$ of the number of distinct sites $S$ visited by a random walker on a $d$-dimensional lattice after $M$ steps. We focus on the case $d \ge 2$, and we are interested in the long-time limit $M \gg 1$. Our…
Recently, deep neural networks have been found to nearly interpolate training data but still generalize well in various applications. To help understand such a phenomenon, it has been of interest to analyze the ridge estimator and its…
We study in this paper, the first passage percolation on a random graph model, the configuration model. We first introduce, the notions of weighted diameter, which is the maximum of the weighted lengths of all optimal paths between any two…
We conjecture an explicit expression for the lower tail large deviation rate function of the partition function of the log-Gamma polymer. We rigorously prove our result, except for one step for which we only provide heuristic evidence. We…
Modern statistical analyses often encounter datasets with massive sizes and heavy-tailed distributions. For datasets with massive sizes, traditional estimation methods can hardly be used to estimate the extreme value index directly. To…
There is a renewed surge in percolation-induced transport properties of diverse nano-particle composites (cf. RSC Nanoscience & Nanotechnology Series, Paul O'Brien Editor-in-Chief). We note in particular a broad interest in nano-composites…
We establish a rather sharp two-side estimate for the tail probability of the derivative martingale limit in a branching random walk throughout the entire subcritical regime, confirming a conjecture by Lacoin, Rhodes, and Vargas (\emph{Duke…
In this paper, we introduce reduced-bias estimators for the estimation of the tail index of a Pareto-type distribution. This is achieved through the use of a regularised weighted least squares with an exponential regression model for…
We study in this paper the problem of least absolute deviation (LAD) regression for high-dimensional heavy-tailed time series which have finite $\alpha$-th moment with $\alpha \in (1,2]$. To handle the heavy-tailed dependent data, we…
We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…
We study the distributions of traveling length l and minimal traveling time t through two-dimensional percolation porous media characterized by long-range spatial correlations. We model the dynamics of fluid displacement by the convective…
A new generalized ridge regression shrinkage path is proposed that is as short as possible under the restriction that it must pass through the vector of regression coefficient estimators that make the overall Optimal Variance-Bias Trade-Off…
We introduce a trimmed version of the Hill estimator for the index of a heavy-tailed distribution, which is robust to perturbations in the extreme order statistics. In the ideal Pareto setting, the estimator is essentially finite-sample…
A large and sparse random graph with independent exponentially distributed link weights can be used to model the propagation of messages or diseases in a network with an unknown connectivity structure. In this article we study an extended…
We study the long-time behavior of decoupled continuous-time random walks characterized by superheavy-tailed distributions of waiting times and symmetric heavy-tailed distributions of jump lengths. Our main quantity of interest is the…