相关论文: Maxima of moving maxima of continuous functions

Continuous-time Markov processes over finite state-spaces are widely used to model dynamical processes in many fields of natural and social science. Here, we introduce an maximum likelihood estimator for constructing such models from data…

We study the maximum mean discrepancy (MMD) in the context of critical transitions modelled by fast-slow stochastic dynamical systems. We establish a new link between the dynamical theory of critical transitions with the statistical aspects…

This paper is devoted to the prediction problem in extreme value theory. Our main result is an explicit expression of the regular conditional distribution of a max-stable (or max-infinitely divisible) process $\{\eta(t)\}_{t\in T}$ given…

In this paper, we study the asymptotic relation between the maximum of acontinuous order statistics process formed by stationary Gaussian processesand the maximum of this process sampled at discrete time points. It is shown that, these two…

We study a triple of stochastic processes: a Wiener process $W_t$, $t \geq 0$, its running maxima process $M_t=\sup \{W_s: s \in [0,t]\}$ and its running minima process $m_t=\inf \{W_s: s \in [0,t]\}$. We derive the analytical formulas for…

We consider the asymptotic behavior of the expectation of the maximum for a special assignment process with constant or i.i.d. coefficients. We show how it depends on the coefficients' distribution.

We consider a stable Cox--Ingersoll--Ross process driven by a standard Wiener process and a spectrally positive strictly stable L\'evy process, and we study asymptotic properties of the maximum likelihood estimator (MLE) for its growth rate…

As a well-established adaptation criterion, the maximum correntropy criterion (MCC) has been receiving increasing attention due to its robust against outliers. In this paper, a new complex recursive maximum correntropy (CRMC) algorithm…

We investigate a family of multiple-stable processes that may exhibit either long-range or short-range dependence, depending on the parameters. There are two parameters for the processes, the memory parameter $\beta\in(0,1)$ and the…

We study the distribution of the maximal jump of continuous-state branching processes. Several exact expressions and explicit asymptotics of both the local maximal jump and the global maximal jump are obtained. We also compare the…

The present article is devoted to the semi-parametric estimation of multivariate expectiles for extreme levels. The considered multivariate risk measures also include the possible conditioning with respect to a functional covariate,…

We propose a general framework to study last passage times, suprema and drawdowns of a large class of stochastic processes. A central role in our approach is played by processes of class Sigma. After investigating convergence properties and…

The article is devoted to the problem of applying the maximum principle for finding optimal control parameters in simulation tasks of interest for a variety of engineering and industrial systems and processes. Especially important is the…

Self-similar stable mixed moving average processes can be related to nonsingular flows through their minimal representations. Self-similar stable mixed moving averages related to dissipative flows have been studied, as well as processes…

Concurrent computation and communication (C3) is a pervasive paradigm in ML and other domains, making its performance optimization crucial. In this paper, we carefully characterize C3 in ML on GPUs, which are most widely deployed for ML…

We study maximum-likelihood-type estimation for diffusion processes when the coefficients are nonrandom and observation occurs in nonsynchronous manner. The problem of nonsynchronous observations is important when we consider the analysis…

Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models…

In this paper, we develop necessary and sufficient conditions for the validity of a martingale approximation for the partial sums of a stationary process in terms of the maximum of consecutive errors. Such an approximation is useful for…

The stable-regenerative multiple-stable model has been shown recently to have distinct candidate extremal index and extremal index. To understand further this rare phenomenon, two more results are established here for the double-stable…

Time-irreversible stochastic processes are frequently used in natural sciences to explain non-equilibrium phenomena and to design efficient stochastic algorithms. Our main goal in this thesis is to analyse their dynamics by means of large…