相关论文: On the residual dependence index of elliptical dis…

We propose elliptical graphical models based on conditional uncorrelatedness as a general- ization of Gaussian graphical models by letting the population distribution be elliptical instead of normal, allowing the fitting of data with…

Extremal dependence between international stock markets is of particular interest in today's global financial landscape. However, previous studies have shown this dependence is not necessarily stationary over time. We concern ourselves with…

The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but…

The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain moment condition. We propose a Euclidean likelihood-based…

Let R be a positive random variable independent of S which is beta distributed. In this paper we are interested on the relation between the distribution function of R and that of RS. For this model we derive first some distributional…

Let X be a second countable locally compact Abelian group. Let $\xi_1, \xi_2$ be independent random variables with values in the group X and distributions $\mu_1, \mu_2$ such that the sum $\xi_1+\xi_2$ and the difference $\xi_1-\xi_2$ are…

Causal questions are omnipresent in many scientific problems. While much progress has been made in the analysis of causal relationships between random variables, these methods are not well suited if the causal mechanisms only manifest…

We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics in the marginal processes and remains agnostic about the…

The multidimensional distributions with heavy tails attracted recently the attention of several papers on Applied Probability. However, the most of the works of the last decades are focused on multivariate regular variation, while the rest…

Estimating the probability of extreme events involving multiple risk factors is a critical challenge in fields such as finance and climate science. This paper proposes a semi-parametric approach to estimate the probability that a…

In algebraic statistics, the maximum likelihood degree of a statistical model refers to the number of solutions (counted with multiplicity) of the score equations over the complex field. In this paper, the maximum likelihood degree of the…

Analysing dependent risks is an important task for insurance companies. A dependency is reflected in the fact that information about one random variable provides information about the likely distribution of values of another random…

We propose a coefficient that measures the dependence among large values for spatial processes of maxima. Its main properties are: a) $k$ locations can be taken into account; b) it takes values in $[0,1]$ and higher values indicate stronger…

We study the rescaled probability distribution of the critical depinning force of an elastic system in a random medium. We put in evidence the underlying connection between the critical properties of the depinning transition and the extreme…

Stochastic volatility processes with heavy-tailed innovations are a well-known model for financial time series. In these models, the extremes of the log returns are mainly driven by the extremes of the i.i.d. innovation sequence which leads…

For extreme value copulas with a known upper tail dependence coefficient we find pointwise upper and lower bounds, which are used to establish upper and lower bounds of the Spearman and Kendall correlation coefficients. We shown that in all…

We extend some known results relating the distribution tails of a continuous local martingale supremum and its quadratic variation to the case of locally square integrable martingales with bounded jumps. The predictable and optional…

In this paper we show that the componentwise maxima ofweakly dependent bivariate stationary Gaussian triangular arrays converge in distribution after normalisation to H\"usler-Reiss distribution. Under a strong dependence assumption, we…

This paper focuses on rare events associated with the tail probabilities of the extremal eigenvalues in the $\beta$-Jacobi ensemble, which plays a critical role in both multivariate statistical analysis and statistical physics. Under the…

For the basic maximum likelihood estimating function of the two parameters Weibull distribution, a simple proof on its global monotonicity is given to ensure the existence and uniqueness of its solution. The boundary of the function's…