相关论文: Threshold selection for wave heights: asymptotic m…
We prove exact leading-order asymptotic behaviour at the origin for nontrivial solutions of two families of nonlocal equations. The equations investigated include those satisfied by the cusped highest steady waves for both the uni- and…
The dominant approaches to text representation in natural language rely on learning embeddings on massive corpora which have convenient properties such as compositionality and distance preservation. In this paper, we develop a novel method…
We consider a method of pairwise variations for smooth optimization problems, which involve polyhedral constraints. It consists in making steps with respect to the difference of two selected extreme points of the feasible set together with…
In this article, we investigate the asymptotic properties of Bayesian multiple testing procedures under general dependent setup, when the sample size and the number of hypotheses both tend to infinity. Specifically, we investigate strong…
Classical Edgeworth expansions provide asymptotic correction terms to the Central Limit Theorem (CLT) up to an order that depends on the number of moments available. In this paper, we provide subsequent correction terms beyond those given…
Analysis of the rare and extreme values through statistical modeling is an important issue in economical crises, climate forecasting, and risk management of financial portfolios. Extreme value theory provides the probability models needed…
When assessing the impact of extreme events, it is often not just a single component, but the combined behaviour of several components which is important. Statistical modelling using multivariate generalized Pareto (GP) distributions…
This paper focuses on the problem of determining as large a region as possible where a function exceeds a given threshold with high probability. We assume that we only have access to a noise-corrupted version of the function and that…
We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations…
The maximum likelihood estimation is computationally demanding for large datasets, particularly when the likelihood function includes integrals. Subsampling can reduce the computational burden, but it often results in efficiency loss.This…
The identification of peaks or maxima in probability densities, by mode testing or bump hunting, has become an important problem in applied fields. This task has been approached in the statistical literature from different perspectives,…
We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…
Free probability analogs of the basics of extreme-value theory are obtained, based on Ando's spectral order. This includes classification of freely max-stable laws and their domains of attraction, using ``free extremal convolutions'' on the…
We study the asymptotic behaviour of needlets-based approximate maximum likelihood estimators for the spectral parameters of Gaussian and isotropic spherical random fields. We prove consistency and asymptotic Gaussianity, in the…
Significant wave height forecasting is a key problem in ocean data analytics. This task affects several maritime operations, such as managing the passage of vessels or estimating the energy production from waves. In this work, we focus on…
This survey reviews portfolio choice in settings where investment opportunities are stochastic due to, e.g., stochastic volatility or return predictability. It is explained how to heuristically compute candidate optimal portfolios using…
This paper provides a non-asymptotic analysis of linear stochastic approximation (LSA) algorithms with fixed stepsize. This family of methods arises in many machine learning tasks and is used to obtain approximate solutions of a linear…
This paper presents a new model for characterising temporal dependence in exceedances above a threshold. The model is based on the class of trawl processes, which are stationary, infinitely divisible stochastic processes. The model for…
Two dynamical indicators, the local dimension and the extremal index, used to quantify persistence in phase space have been developed and applied to different data across various disciplines. These are computed using the asymptotic limit of…
We study asymptotic properties of maximum likelihood estimators of drift parameters for a jump-type Heston model based on continuous time observations, where the jump process can be any purely non-Gaussian L\'evy process of not necessarily…