相关论文: Finite-State Extreme Effect Variable

In environmental applications of extreme value statistics, the underlying stochastic process is often modeled either as a max-stable process in continuous time/space or as a process in the domain of attraction of such a max-stable process.…

The object of this paper is twofold. From one side we study the dichotomy, in terms of the Extremal Index of the possible Extreme Value Laws, when the rare events are centred around periodic or non periodic points. Then we build a general…

Let $(X,Y)$ be a bivariate random vector. The estimation of a probability of the form $P(Y\leq y \mid X >t) $ is challenging when $t$ is large, and a fruitful approach consists in studying, if it exists, the limiting conditional…

This paper develops an inferential theory for state-varying factor models of large dimensions. Unlike constant factor models, loadings are general functions of some recurrent state process. We develop an estimator for the latent factors and…

Multivariate extreme value theory assumes a multivariate domain of attraction condition for the distribution of a random vector. This necessitates that each component satisfies a marginal domain of attraction condition. An approximation of…

We address the estimation of quantiles from heavy-tailed distributions when functional covariate information is available and in the case where the order of the quantile converges to one as the sample size increases. Such "extreme"…

We study the characteristics of the Pickands' dependence function for bivariate extreme distribution for minima, BEVM, when considering the stochastics ordering of the two variables. The existing Pickand's dependence function terminologies…

Random effects are a flexible addition to statistical models to capture structural heterogeneity in the data, such as spatial dependencies, individual differences, temporal dependencies, or non-linear effects. Testing for the presence (or…

The main objective of this paper is to develop extreme value theory for $\vartheta$-expansions. We establish the limit distribution of the maximum value in a $\vartheta$-continued fraction mixing stationary stochastic process, along with…

Let $X_1,...,X_n$ be iid random vectors and $f\ge 0$ be a non-negative function. Let also $k(n) = {\rm Argmax}_{i=1,...,n} f(X_i)$. We are interested in the distribution of $X_{k(n)}$ and their limit theorems. In other words, what is the…

The occurrence of successive extreme observations can have an impact on society. In extreme value theory there are parameters to evaluate the effect of clustering of high values, such as the extremal index. The estimation of the extremal…

We investigate the theory of finite observables, i.e., resolutions of the finite-dimensional identity by means of positive operators, that have a physical interpretation in terms of measurement schemes. We focus on extremal and rank-one…

We present numerical simulations of a model of social influence, where the opinion of each agent is represented by a binary vector. Agents adjust their opinions as a result of random encounters, whenever the difference between opinions is…

In this paper, we study the effects of correlated random phases in the intensity of a superposition of $N$ wave-fields. Our results suggest that regardless of whether the phase distribution is continuous or discrete if the phases are random…

We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible series of estimators for such probabilities, and describe variance reduction schemes applied to the proposed…

Extreme value theory (EVT) provides an elegant mathematical tool for the statistical analysis of rare events. When data are collected from multiple population subgroups, because some subgroups may have less data available for extreme value…

We consider an inverse problem for the linear one-dimensional wave equation with variable coefficients consisting in determining an unknown source term from a boundary observation. A method to obtain approximations of this inverse problem…

Power-law distributions are typical macroscopic features occurring in almost all complex systems observable in nature. As a result, researchers in quantitative analyses must often generate random synthetic variates obeying power-law…

Inferring variable importance is the key problem of many scientific studies, where researchers seek to learn the effect of a feature $X$ on the outcome $Y$ in the presence of confounding variables $Z$. Focusing on classification problems,…

We provide formulas to compute the coefficients entering the affine scaling needed to get a non-degenerate function for the asymptotic distribution of the maxima of some kind of observable computed along the orbit of a randomly perturbed…