相关论文: Tail estimates for Markovian rough paths
In this paper non-asymptotic exponential and moment estimates are derived for tail of distribution for discrete time martingale under norming sequence 1/n, as in the classical Law of Large Numbers (LLN), by means of martingale differences…
We consider a stationary regularly varying time series which can be expressedas a function of a geometrically ergodic Markov chain. We obtain practical conditionsfor the weak convergence of the tail array sums and feasible estimators…
By using a probabilistic technique based on the exponential change of measure we find a precise tail asymptotic behavior of some perpetuities with distributions close to the Dickman distribution.
The purpose of this paper is to extend the investigation of Poisson-type deviation inequalities started by Joulin (Bernoulli 13 (2007) 782--798) to the empirical mean of positively curved Markov jump processes. In particular, our main…
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the…
Based on suitable left-truncated or censored data, two flexible classes of $M$-estimations of Weibull tail coefficient are proposed with two additional parameters bounding the impact of extreme contamination. Asymptotic normality with…
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…
We obtain in this paper a non-asymptotic non-improvable up to multiplicative constant moment and exponential tail estimates for distribution for U-statistics by means of martingale representation. We show also the exactness of obtained…
We use the so-called t-Hill tail index estimator proposed by Fabi\'an(2001), rather than Hill's one, to derive a robust estimator for the distortion risk premium of loss. Under the second-order condition of regular variation, we establish…
We introduce a new type of estimator for the spectral tail process of a regularly varying time series. The approach is based on a characterizing invariance property of the spectral tail process, which is incorporated into the new estimator…
The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual…
Recently some papers, such as Aban, Meerschaert and Panorska (2006), Nuyts (2010) and Clark (2013), have drawn attention to possible truncation in Pareto tail modelling. Sometimes natural upper bounds exist that truncate the probability…
We prove the weak type (1,1) estimate for maximal function of the truncated rough Hilbert transform considered in [9] and [10]
The goal of this paper is to investigate the tools of extreme value theory originally introduced for discrete time stationary stochastic processes (time series), namely the tail process and the tail measure, in the framework of continuous…
We consider the tail behavior of random variables $R$ which are solutions of the distributional equation $R\stackrel{d}{=}Q+MR$, where $(Q,M)$ is independent of $R$ and $|M|\le 1$. Goldie and Gr\"{u}bel showed that the tails of $R$ are no…
We establish sharp large deviation asymptotics for the maximum order statistic of independent and identically distributed heavy-tailed random variables, valid for all Borel subsets of the right tail. This result yields exact decay rates for…
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…
We study probability inequalities leading to tail estimates in a general semigroup $\mathscr{G}$ with a translation-invariant metric $d_{\mathscr{G}}$. (An important and central example of this in the functional analysis literature is that…
We develop a new probabilistic and geometric method to obtain several sharp results pertaining to the upper tail behavior of continuum Gibbs measures on infinite ensembles of random continuous curves, also known as line ensembles,…
We prove $L^p$ estimates for a continuous version of a dyadic quadrilinear form introduced by Kova\v{c} in [6]. This improves the range of exponents from the prequel [3] of the present paper.