相关论文: Tail Measures and Regular Variation

This paper proposes a semiparametric joint VaRES framework driven by realized information, mo tivated by the economic mechanisms underlying tail risk generation. Building on the CAViaR quantile recursion, the model introduces a dynamic…

Stellar activity is the main limitation to the detection of Earth-twins using the RV technique. Despite many efforts in trying to mitigate the effect of stellar activity using empirical and statistical techniques, it seems that we are…

The goal of this paper is two-fold: 1. We review classical and recent measures of serial extremal dependence in a strictly stationary time series as well as their estimation. 2. We discuss recent concepts of heavy-tailed time series,…

This paper compares the in-sample and out-of-sample performance of several models for computing the tail risk of one-month and one-year electricity futures contracts traded in the NordPool, French, German, and Spanish markets in 2008-2017.…

A novel method is proposed for detecting changes in the covariance structure of moderate dimensional time series. This non-linear test statistic has a number of useful properties. Most importantly, it is independent of the underlying…

We prove a large deviation principle for a sequence of point processes defined by Gibbs probability measures on a Polish space. This is obtained as a consequence of a more general Laplace principle for the non-normalized Gibbs measures. We…

Methodologies to test hypotheses about the tail-heaviness of an underlying distribution are introduced based on results of Rojo (1996) using the limiting behavior of the extreme spacings. The tests are consistent and have point-wise robust…

We introduce a class of dynamical systems having an invariant measure, the modifications of well known systems on Lie groups: LR and L+R systems. As an example, we study modified Veselova nonholonomic rigid body problem, considered as a…

A scan statistic is examined for the purpose of testing the existence of a global peak in a random process with dependent variables of any distribution. The scan statistic tail probability is obtained based on the covariance of the moving…

We consider the problem of supervised dimension reduction with a particular focus on extreme values of the target $Y\in\mathbb{R}$ to be explained by a covariate vector $X \in \mathbb{R}^p$. The general purpose is to define and estimate a…

Bratteli diagrams with countably infinite levels exhibit a new phenomenon: they can be horizontally stationary. The incidence matrices of these horizontally stationary Bratteli diagrams are infinite banded Toeplitz matrices. In this paper,…

The study of loss function distributions is critical to characterize a model's behaviour on a given machine learning problem. For example, while the quality of a model is commonly determined by the average loss assessed on a testing set,…

This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space. The test statistics considered are of Kolmogorov-Smirnov…

We study the asymptotic behaviour of widely used tests for evaluating and comparing predictive accuracy when forecast errors exhibit heavy tails. In particular, when loss differentials have infinite variance, the Diebold-Mariano test…

We propose an extension of the classical variational theory of evolution equations that accounts for dynamics also in possibly non-reflexive and non-separable spaces. The pivoting point is to establish a novel variational structure, based…

Radio pulsar polarization exhibits a number of complex phenomena that are classified into the realm of `beyond the rotating vector model' (RVM). It is shown that these effects can be understood in geometrical terms, as a result of coherent…

Let P -> M be a principal G-bundle. Using techniques from the loop representation of gauge theory, we construct well-defined substitutes for ``Lebesgue measure'' on the space A of connections on P and for ``Haar measure'' on the group Ga of…

In this paper, we propose a reduced order approach for 3D variational data assimilation governed by parametrized partial differential equations. In contrast to the classical 3D-VAR formulation that penalizes the measurement error directly,…

We construct a class of static, axially symmetric solutions representing razor-thin disks of matter in an Integrable Weyl-Dirac theory proposed in Found. Phys. 29, 1303 (1999). The main differences between these solutions and the…

We bring a precision to our cited work concerning the notion of "Borel measures", as the choice among different existing definitions impacts on the validity of the results.