Related papers: Maximum Variation of Total Risk
This paper develops a method to upper-bound extreme-values of time-windowed risks for stochastic processes. Examples of such risks include the maximum average or 90% quantile of the current along a transmission line in any 5-minute window.…
We reconsider a classical, well-studied problem from applied probability. This is the max-sum equivalence of randomly weighted sums, and the originality is because we manage to include interdependence among the primary random variables, as…
We prove a central limit theorem for $\log|\zeta(1/2+it)|$ with respect to the measure $|\zeta^{(m)}(1/2+it)|^{2k}dt$ ($k,m\in\mathbb N$), assuming RH and the asymptotic formula for twisted and shifted integral moments of zeta. Under the…
Let $X(t), t\in \mathcal{T}$ be a centered Gaussian random field with variance function $\sigma^2(\cdot)$ that attains its maximum at the unique point $t_0\in \mathcal{T}$, and let $M(\mathcal{T}):=\sup_{t\in \mathcal{T}} X(t)$. For…
Under the Riemann Hypothesis, we show that as $t$ varies in $T\leq t \leq 2T$, the distribution of $\log|\zeta(1/2+it)|$ with respect to the measure $|\zeta(1/2+it)|^2dt$ is approximately normal with mean $\log\log T$ and variance…
This note establishes that if a sequence $P_n, n=1,\ldots$ of probability measures converges in total variation to the limiting probability measure $P$, and $\sigma$-algebras $\mathbb{A}$ and $\mathbb{B}$ are conditionally independent given…
Risk contagion concerns any entity dealing with large scale risks. Suppose (X,Y) denotes a risk vector pertaining to two components in some system. A relevant measurement of risk contagion would be to quantify the amount of influence of…
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case. The first "regulator" version is independent from any…
We present a novel approach to estimating discrete distributions with (potentially) infinite support in the total variation metric. In a departure from the established paradigm, we make no structural assumptions whatsoever on the sampling…
We study extreme value statistics of multiple sequences of random variables. For each sequence with N variables, independently drawn from the same distribution, the running maximum is defined as the largest variable to date. We compare the…
When considering d possibly dependent random variables, one is often interested in extreme risk regions, with very small probability p. We consider risk regions of the form ${\mathbf{z}\in\mathbb{R}^d:f(\mathbf{z})\leq\beta}$, where f is…
In 2007, assuming the Riemann Hypothesis (RH), Soundararajan \cite{Moment} proved that $\int_{0}^T |\zeta(1/2 + it)|^{2k} dt \ll_{k, \epsilon} T(\log T)^{k^2 + \epsilon}$ for every $k$ positive real number and every $\epsilon > 0.$ In this…
Consider a critical Galton-Watson process Z={Z_n: n=0,1,...} of index 1+alpha, alpha in (0,1]. Let S_k(j) denote the sum of the Z_n with n in the window [k,...,k+j), and M_m(j) the maximum of the S_k with k moving in [0,m-j]. We describe…
We aim to analyze the behaviour of a finite-time stochastic system, whose model is not available, in the context of more rare and harmful outcomes. Standard estimators are not effective in making predictions about such outcomes due to their…
Randomized approximation algorithms for many #P-complete problems (such as the partition function of a Gibbs distribution, the volume of a convex body, the permanent of a $\{0,1\}$-matrix, and many others) reduce to creating random…
We calculate analytically the probability of large deviations from its mean of the largest (smallest) eigenvalue of random matrices belonging to the Gaussian orthogonal, unitary and symplectic ensembles. In particular, we show that the…
If $(k,\ell)$ is an exponent pair such that $k+\ell<1$, then we have $$ \int_1^T|\zeta(1/2+it)|^4|\zeta(\sigma+it)|^2dt \ll_\epsilon T^{1+\epsilon}\quad(\sigma > \min({5\over6},\max(\ell-k, {5k+\ell\over4k+1})), $$ while if $(k,\ell)$ is an…
For a regression model, we consider the risk of the maximum likelihood estimator with respect to $\alpha$-divergence, which includes the special cases of Kullback-Leibler divergence, Hellinger distance and $\chi^2$ divergence. The…
Following Selberg it is known that uniformly for V << (logloglog T)^{1/2 - \epsilon} the measure of those t \in [T;2T] for which log |\zeta(1/2 + it)| > V*((1/2)loglog T)^{1/2} is approximately T times the probability that a standard…
We consider the problem of sensitivity of threshold risk, defined as the probability of a function of a random variable falling below a specified threshold level $\delta >0.$ We demonstrate that for polynomial and rational functions of that…