相关论文: Tail approximations of integrals of Gaussian rando…

For a centered, homogeneous R^d-valued Gaussian random field X(t), t in R^k, with covariance matrix function R(s,t) = E[X(s) X(t)^T], we investigate the exact asymptotics of kappa_u(x) = P( theta(u) * integral over [0,T]^k of 1{X(t) > u b}…

We extend known saddlepoint tail probability approximations to multivariate cases, including multivariate conditional cases. Our approximation applies to both continuous and lattice variables, and requires the existence of a cumulant…

Let $\{X_t, t \geq 1\}$ be a sequence of identically distributed and pairwise asymptotically independent random variables with regularly varying tails and $\{ \Theta_t, t\geq1 \}$ be a sequence of positive random variables independent of…

We give a sufficient condition for the exponential decay of the tail probability of a non-negative random variable. We consider the Laplace-Stieltjes transform of the probability distribution function of the random variable. We present a…

We consider sums of $n$ i.i.d. random variables with tails close to $\exp\{-x^\beta\}$ for some $\beta>1$. Asymptotics developed by Rootz\'en (1987) and Balkema, Kl\"uppelberg & Resnick (1993) are discussed from the point of view of tails…

In high-dimensions, the prior tails can have a significant effect on both posterior computation and asymptotic concentration rates. To achieve optimal rates while keeping the posterior computations relatively simple, an empirical Bayes…

We derive the tail inequalities between two random variables starting from inequalities between its moment, or more generally between its Lebesgue-Riesz norms, which holds true on certain sets of parameters. We consider some applications…

We consider the first serial correlation coefficient under an AR(1) model where errors are not assumed to be Gaussian. In this case it is necessary to consider bootstrap approximations for tests based on the statistic since the distribution…

We explore the use of higher-order tail area approximations for Bayesian simulation. These approximations give rise to an alternative simulation scheme to MCMC for Bayesian computation of marginal posterior distributions for a scalar…

In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed risks are modeled using regular variation which leads to a…

We consider a two dimensional skip-free reflecting random walk on a nonnegative integer quadrant. We are interested in the tail asymptotics of its stationary distribution, provided its existence is assumed. We derive exact tail asymptotics…

We review various inequalities for Mills' ratio (1 - \Phi)/\phi, where \phi and \Phi denote the standard Gaussian density and distribution function, respectively. Elementary considerations involving finite continued fractions lead to a…

We show that the full-sample bootstrap is asymptotically valid for constructing confidence intervals for high-quantiles, tail probabilities, and other tail parameters of a univariate distribution. This resolves the doubts that have been…

In this paper, we propose a novel frequency-severity joint trip-level risk index that combines the frequency of abnormal driving patterns with a severity component reflecting how extreme such behavior is relative to a portfolio-level…

In the "stochastic $\delta N$ formalism", the statistics of the inflationary density perturbation are obtained from the first passage distribution of a stochastic process. We develop a general framework in which to evaluate the rare tail of…

We show bounds on tail probabilities for quadratic forms in sub-gaussian non-necessarily independent random variables. Our main tool will be estimates of the Luxemburg norms of such forms. This will allow us to formulate the above-mentioned…

In this work we consider Bayesian inference problems with intractable likelihood functions. We present a method to compute an approximate of the posterior with a limited number of model simulations. The method features an inverse Gaussian…

We derive in this preprint the moment and exponential tail estimates, sufficient conditions for the Non-Central Limit Theorem (NCLT) in the ordinary one-dimensional space as well as in the space of continuous functions for the properly…

Various natural phenomena exhibit spatial extremal dependence at short spatial distances. However, existing models proposed in the spatial extremes literature often assume that extremal dependence persists across the entire domain. This is…

This paper considers the tail asymptotics for a cumulative process $\{B(t); t \ge 0\}$ sampled at a heavy-tailed random time $T$. The main contribution of this paper is to establish several sufficient conditions for the asymptotic equality…