相关论文: Correlations of record events as a test for heavy-…

We investigate a way of comparing and classifying tails of random variables. Our approach extends the notion of classical indices, such as exponential and moment indices, which are widely used measuring heaviness of tail functions. A…

Consider two stationary time series with heavy-tailed marginal distributions. We aim to detect whether they have a causal relation, that is, if a change in one causes a change in the other. Usual methods for causal discovery are not well…

In the context of this paper, a record is an entry in a sequence of random variables (RV's) that is larger or smaller than all previous entries. After a brief review of the classic theory of records, which is largely restricted to sequences…

We review recent advances on the record statistics of strongly correlated time series, whose entries denote the positions of a random walk or a L\'evy flight on a line. After a brief survey of the theory of records for independent and…

The characterization of record events is considered for a discrete-time random walk model with long-term memory arising from correlations between successive steps. An important feature is that the correlations are strong enough to give rise…

The statistics of records in sequences of independent, identically distributed random variables is a classic subject of study. One of the earliest results concerns the stochastic independence of record events. Recently, records statistics…

We analyze record-breaking events in time series of continuous random variables that are subsequently discretized by rounding down to integer multiples of a discretization scale $\Delta>0$. Rounding leads to ties of an existing record,…

The so-called partition function is a sample moment statistic based on blocks of data and it is often used in the context of multifractal processes. It will be shown that its behaviour is strongly influenced by the tail of the distribution…

The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the…

We estimate the probability that random noise, of several plausible standard distributions, creates a false alarm that a periodicity (or log-periodicity) is found in a time series. We investigate general situations with non-Gaussian…

The extreme values theory presents specific tools for modeling and predicting extreme phenomena. In particular, risk assessment is often analyzed through measures for tail dependence and high values clustering. Despite technological…

Different questions related with analysis of extreme values and outliers arise frequently in practice. To exclude extremal observations and outliers is not a good decision because they contain important information about the observed…

Risk assessment for rare events is essential for understanding systemic stability in complex systems. As rare events are typically highly correlated, it is important to study heavy-tailed multivariate distributions of the relevant…

It is well-known that large deviations of random walks driven by independent and identically distributed heavy-tailed random variables are governed by the so-called principle of one large jump. We note that further subtleties hold for such…

This paper introduces a new classification scheme - head/tail breaks - in order to find groupings or hierarchy for data with a heavy-tailed distribution. The heavy-tailed distributions are heavily right skewed, with a minority of large…

Temporal sequences of discrete events that describe natural and social processes are often driven by non-Poisson dynamics. In addition to a heavy-tailed interevent time distribution, which primarily captures the deviation from a Poisson…

We study the empirical version of halfspace depths with the objective of establishing a connection between the rates of convergence and the tail behaviour of the corresponding underlying distributions. The intricate interplay between the…

Extreme events are often multivariate in nature. A compound extreme occurs when a combination of variables jointly produces a significant impact, even if individual components are not necessarily marginally extreme. Compound extremes have…

Heavy tailed phenomena are naturally analyzed by extreme value statistics. A crucial step in such an analysis is the estimation of the extreme value index, which describes the tail heaviness of the underlying probability distribution. We…

In univariate data, there exist standard procedures for identifying dominating features that produce the largest observations. However, in the multivariate setting, the situation is quite different. This paper aims to provide tools and…