相关论文: On a Bellman function associated with the Chang--W…
Both parametric distribution functions appearing in extreme value theory - the generalized extreme value distribution and the generalized Pareto distribution - have log-concave densities if the extreme value index gamma is in [-1,0].…
We compute the Bellman function of three integral variables associated to the dyadic maximal operator on a subset of its domain. Additionally, we provide an upper bound for the whole domain of its definition.
The paper considers the distribution of a general linear combination of central and non-central chi-square random variables by exploring the branch cut regions that appear in the standard Laplace inversion process. Due to the original…
The tail correlation function (TCF) is one of the most popular bivariate extremal dependence measures that has entered the literature under various names. We study to what extent the TCF can distinguish between different classes of…
A class of distortions termed functional Bregman divergences is defined, which includes squared error and relative entropy. A functional Bregman divergence acts on functions or distributions, and generalizes the standard Bregman divergence…
We study the tail bound of the emperical covariance of multivariate normal distribution. Following the work of (Gittens & Tropp, 2011), we provide a tail bound with a small constant.
We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution,…
In samples from a heavy-tailed distribution a second-order approximation is often use to approximate the tail function. Based on the parameters of the approximation, an optimal sample fraction can be estimated which is then used to estimate…
In some fields of applications of stable distributions, especially in economics, it appears, that data have distributions similar to stable in a large region, but do not have such heavy tails. Our aim in this note is to propose several…
The goodness-of-fit test for discrimination of two tail distribution using higher order statistics is proposed. The consistency of proposed test is proved for two different alternatives. We do not assume belonging the corresponding…
The Feynman-Kac equations are a type of partial differential equations describing the distribution of functionals of diffusive motion. The probability density function (PDF) of Brownian functionals satisfies the Feynman-Kac formula, being a…
Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the tail dependence is characterized by the…
The analysis of extremal dependence in high dimensions has recently attracted considerable interest. Existing methodology primarily focuses on modeling and estimation of extremal dependence structures, often supported by concentration…
If F is an infinitely differentiable function whose composition with a blowing-up belongs to a Denjoy-Carleman class C_M (determined by a log convex sequence M=(M_k)), then F, in general, belongs to a larger shifted class C_N, where N_k =…
We study a discrete analogue of the classical multivariate Gaussian distribution. It is supported on the integer lattice and is parametrized by the Riemann theta function. Over the reals, the discrete Gaussian is characterized by the…
Let $X_{1},\ldots ,X_{n}$ be $n$ real-valued dependent random variables. With motivation from Mitra and Resnick (2009), we derive the tail asymptotic expansion for the weighted sum of order statistics $X_{1:n}\leq \cdots \leq X_{n:n}$ of…
Consider $n$ real/complex, independent/dependent random variables with respective tail bounds and $g$ a measurable function of the r.v.'s. Consider $f$ the "sharpest" tail bound of $g$ (sharpest in the sense that if $f$ were any less, then…
The objective of this study is to investigate the limiting behavior of a subgraph counting process. The subgraph counting process we consider counts the number of subgraphs having a specific shape that exist outside an expanding ball as the…
In this work, approximations for real two variables function $f$ which has continuous partial $(n-1)$-derivatives $(n \ge 1)$ and has the $n$--th partial derivative of bounded bivariation or absolutely continuous are established. Explicit…
A Bellman function approach to Fefferman's $H^1-BMO$ duality theorem is presented. One Bellman-type argument is used to handle two different one-dimensional cases, dyadic and continuous. An explicit estimate for the constant of embedding…