相关论文: Threshold selection for wave heights: asymptotic m…
We prove a CLT for skewness and kurtosis of the wavelets coefficients of a stationary field on the torus. The results are in the framework of the fixed-domain asymptotics, i.e. we refer to observations of a single field which is sampled at…
This paper investigates the use of extreme value theory for modelling the distribution of demand-net-of-wind for capacity adequacy assessment. Extreme value theory approaches are well-established and mathematically justified methods for…
We derive inferential procedures for large sample sizes that remain valid under data-dependent significance levels (so-called "post-hoc valid inference"). Classical statistical tools require that the significance level -- the "type-I error"…
In this paper we present two new procedures for automatic detection and picking of P-wave arrivals. The first involves the application of kurtosis and skewness on the vector magnitude of three component seismograms. Customarily, P-wave…
The study of the extreme weather space events is important for a technological dependent society. Extreme Value Theory could be decisive to characterize those extreme events in order to have the knowledge to make decisions in technological,…
Let $\{X(t)= (X_1(t),X_2(t))^T,\ t \in \mathbb{R}^N\}$ be an $\mathbb{R}^2$-valued continuous locally stationary Gaussian random field with $\mathbb{E}[X(t)]=\mathbf{0}$. For any compact sets $A_1, A_2 \subset \mathbb{R}^N$, precise…
Precisely estimating out-of-sample upper quantiles is very important in risk assessment and in engineering practice for structural design to prevent a greater disaster. For this purpose, the generalized extreme value (GEV) distribution has…
In this work, we study the convergence \emph{in high probability} of clipped gradient methods when the noise distribution has heavy tails, ie., with bounded $p$th moments, for some $1<p\le2$. Prior works in this setting follow the same…
We present a quasi-conjugate Bayes approach for estimating Generalized Pareto Distribution (GPD) parameters, distribution tails and extreme quantiles within the Peaks-Over-Threshold framework. Damsleth conjugate Bayes structure on Gamma…
Heavy-tailed distributions are infamously difficult to estimate because their moments tend to infinity as the shape of the tail decay increases. Nevertheless, this study shows the utilization of a modified group of moments for estimating a…
We consider tests of hypotheses when the parameters are not identifiable under the null in semiparametric models, where regularity conditions for profile likelihood theory fail. Exponential average tests based on integrated profile…
Applying standard statistical methods after model selection may yield inefficient estimators and hypothesis tests that fail to achieve nominal type-I error rates. The main issue is the fact that the post-selection distribution of the data…
Thresholding--the pruning of nodes or edges based on their properties or weights--is an essential preprocessing tool for extracting interpretable structure from complex network data, yet existing methods face several key limitations.…
In this work we present for the first time an application of the Pareto approach to the modelling of the excesses of galaxy clusters over high-mass thresholds. The distribution of those excesses can be described by the generalized Pareto…
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of It\^o semimartingale increments. The asymptotics setup is of joint type: both the length of the time interval of…
Gaussian random processes which variances reach theirs maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute maximums of theirs trajectories have been evaluated using Double Sum Method…
We consider a one dimensional sub-ballistic random walk evolving in a parametric i.i.d. random environment. We study the asymptotic properties of the maximum likelihood estimator (MLE) of the parameter based on a single observation of the…
We propose a general approach to construct weighted likelihood estimating equations with the aim of obtaining robust parameter estimates. We modify the standard likelihood equations by incorporating a weight that reflects the statistical…
We study randomly stopped sums via their asymptotic scales. First, finiteness of moments is considered. To generalise this study, asymptotic scales applicable to the class of all heavy-tailed random variables are used. The stopping is…
We use point processes theory to describe the asymptotic distribution of all upper order statistics for observations collected at renewal times. As a corollary, we obtain limiting theorems for corresponding extremal processes.