相关论文: Tail Measures and Regular Variation

When estimating the risk of a financial position with empirical data or Monte Carlo simulations via a tail-dependent law invariant risk measure such as the Conditional Value-at-Risk (CVaR), it is important to ensure the robustness of the…

It is known that the topology of a Polish group is uniquely determined by its Borel structure and group operations, but this does not give us a way to find the topology. In this article we expand on this theorem and give a criterion for a…

When a spatial process is recorded over time and the observation at a given time instant is viewed as a point in a function space, the result is a time series taking values in a Banach space. To study the spatio-temporal extremal dynamics…

A multivariate, stationary time series is said to be jointly regularly varying if all its finite-dimensional distributions are multivariate regularly varying. This property is shown to be equivalent to weak convergence of the conditional…

We obtain an uniform tail estimates for natural normed sums of independent random variables (r.v.) with regular varying tails of distributions. We give also many examples on order to show the exactness of offered estimates and discuss some…

A random vector $X$ with representation $X=\sum_{j\geq0}A_jZ_j$ is considered. Here, $(Z_j)$ is a sequence of independent and identically distributed random vectors and $(A_j)$ is a sequence of random matrices, `predictable' with respect to…

We study Polish spaces for which a set of possible distances $A \subseteq \mathbb{R}^+$ is fixed in advance. We determine, depending on the properties of $A$, the complexity of the collection of all Polish metric spaces with distances in…

We propose a new approach to measure differential radial velocities, mainly for single-lined spectroscopic binaries. The proposed procedure - TIRAVEL (Template Independent RAdial VELocities) - does not rely on a prior theoretical or…

We establish a statistical learning theoretical framework aimed at extrapolation, or out-of-domain generalization, on the unobserved tails of covariates in continuous regression problems. Our strategy involves performing statistical…

It is introduced a certain approach for equipment of an arbitrary set of the cardinality of the continuum by structures of Polish groups and two-sided (left or right) invariant Haar measures. By using this approach we answer positively…

Since 1999, we have been conducting a radial velocity survey of 179 K giants using the CAT at UCO/Lick observatory. At present ~20-100 measurements have been collected per star with a precision of 5 to 8 m/s. Of the stars monitored, 145…

We extend the class of tempered stable distributions first introduced in Rosinski 2007. Our new class allows for more structure and more variety of tail behaviors. We discuss various subclasses and the relation between them. To characterize…

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…

Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…

We classify Radon stationary measures for a random walk on $\mathbb{T}^d \times \mathbb{R}$. This walk is realised by a random action of $SL_{d}(\mathbb{Z})$ on the $\mathbb{T}^d$ component, coupled with a translation on the $\mathbb{R}$…

We present an orthogonal expansion for real, function-regulated, second-order random measures over $\mathbb{R}^{d}$ with measure covariance. Such a expansion, which can be seen as a Karhunen-Lo\`eve decomposition, consists in a series of…

In this paper we propose and study a novel optimal transport based regularization of linear dynamic inverse problems. The considered inverse problems aim at recovering a measure valued curve and are dynamic in the sense that (i) the…

In this article we extend the notion of metric measure spaces to so-called metric two-level measure spaces (m2m spaces): An m2m space $(X, r, \nu)$ is a Polish metric space $(X, r)$ equipped with a two-level measure $\nu \in…

We look at joint regular variation properties of MA($\infty$) processes of the form $\mathbf{X} = (X_k, k \in \mathbb{Z})$ where $X_k = \sum_{j=0}^{\infty} \psi_j Z_{k-j}$ and the sequence of random variables $(Z_i, i \in \mathbb{Z})$ are…

High dimensional Vector Autoregressions (VAR) have received a lot of interest recently due to novel applications in health, engineering, finance and the social sciences. Three issues arise when analyzing VAR's: (a) The high dimensional…