相关论文: Extremal behavior of pMAX processes

We characterize the asymptotic independence between blocks consisting of multiple Wiener-It\^{o} integrals. As a consequence of this characterization, we derive the celebrated fourth moment theorem of Nualart and Peccati, its…

Let $M_n$ be the maximum of $n$ zero-mean gaussian variables $X_1,..,X_n$ with covariance matrix of minimum eigenvalue $\lambda$ and maximum eigenvalue $\Lambda$. Then, for $n \ge 70$, $$\Pr\{M_n \ge \lambda \left (2 \log n - 2.5 - \log(2…

Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a function on the unit simplex subject to…

We consider regularly varying random vectors. Our goal is to estimate in a non-parametric way some characteristics related to conditioning on an extreme event, like the tail dependence coefficient. We introduce a quasi-spectral…

The risk of catastrophes is related to the possibility of occurring extreme values. Several statistical methodologies have been developed in order to evaluate the propensity of a process for the occurrence of high values and the permanence…

A geometric representation for multivariate extremes, based on the shapes of scaled sample clouds in light-tailed margins and their so-called limit sets, has recently been shown to connect several existing extremal dependence concepts.…

Let $(X_j)_{j\geq1}$ be a multivariate long-range dependent Gaussian process. We study the asymptotic behavior of the corresponding sequential empirical process indexed by a class of functions. If some entropy condition is satisfied we have…

Max-stable distributions and processes are important models for extreme events and the assessment of tail risks. The full, multivariate likelihood of a parametric max-stable distribution is complicated and only recent advances enable its…

This paper addresses important weaknesses in current methodology for the estimation of multivariate extreme event distributions. The estimation of the residual dependence index $\eta \in (0,1]$ is notoriously problematic. We introduce a…

Multivariate extreme value analysis quantifies the probability and magnitude of joint extreme events. River discharges from the upper Danube River basin provide a challenging dataset for such analysis because the data, which is measured on…

Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…

We introduce the concept of geometric extremal graphical models, which are defined through the gauge function of the limit set obtained from suitably scaled random vectors in light-tailed margins. For block graphs, we prove results relating…

Identifying dependency in multivariate data is a common inference task that arises in numerous applications. However, existing nonparametric independence tests typically require computation that scales at least quadratically with the sample…

We tackle the modeling of threshold exceedances in asymptotically independent stochastic processes by constructions based on Laplace random fields. These are defined as Gaussian random fields scaled with a stochastic variable following an…

Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices…

Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the tail dependence is characterized by the…

Conditional extreme value models have been introduced by Heffernan and Resnick (2007) to describe the asymptotic behavior of a random vector as one specific component becomes extreme. Obviously, this class of models is related to classical…

Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins…

We propose a discrete-time, finite-state stationary process that can possess long-range dependence. Among the interesting features of this process is that each state can have different long-term dependency, i.e., the indicator sequence can…

In this paper, we characterize the extremal dependence of $d$ asymptotically dependent variables by a class of random vectors on the $(d-1)$-dimensional hyperplane perpendicular to the diagonal vector $\mathbf1=(1,\ldots,1)$. This…