相关论文: Extremal conditional independence for H\"usler-Rei…
It has been recently shown in Jaworski, P., Jelito, D. and Pitera, M. (2024), 'A note on the equivalence between the conditional uncorrelation and the independence of random variables', Electronic Journal of Statistics 18(1), that one can…
In this paper, we study the value-distributions of $L$-functions of holomorphic primitive cusp forms in the level aspect. We associate such automorphic $L$-functions with probabilistic models called the random Euler products. First, we…
Accurate modelling of the joint extremal dependence structure within a stationary time series is a challenging problem that is important in many applications.\ Several previous approaches to this problem are only applicable to certain types…
It is often reasonable to assume that the dependence structure of a bivariate continuous distribution belongs to the class of extreme-value copulas. The latter are characterized by their Pickands dependence function. In this paper, a…
We extend the theory of d-separation to cases in which data instances are not independent and identically distributed. We show that applying the rules of d-separation directly to the structure of probabilistic models of relational data…
In many real problems, dependence structures more general than exchangeability are required. For instance, in some settings partial exchangeability is a more reasonable assumption. For this reason, vectors of dependent Bayesian…
We study notions of robustness of Markov kernels and probability distribution of a system that is described by $n$ input random variables and one output random variable. Markov kernels can be expanded in a series of potentials that allow to…
Multivariate extreme value statistical analysis is concerned with observations on several variables which are thought to possess some degree of tail-dependence. In areas such as the modeling of financial and insurance risks, or as the…
We introduce the extremal range, a local statistic for studying the spatial extent of extreme events in random fields on $\mathbb{R}^d$. Conditioned on exceedance of a high threshold at a location $s$, the extremal range at $s$ is the…
We investigate the use of a non-parametric independence measure, the Hilbert-Schmidt Independence Criterion (HSIC), as a loss-function for learning robust regression and classification models. This loss-function encourages learning models…
We establish a theory for multivariate extreme value analysis of dynamical systems. Namely, we provide conditions adapted to the dynamical setting which enable the study of dependence between extreme values of the components of…
The probabilistic characterization of the relationship between two or more random variables calls for a notion of dependence. Dependence modeling leads to mathematical and statistical challenges, and recent developments in extremal…
We analyze the extreme value dependence of independent, not necessarily identically distributed multivariate regularly varying random vectors. More specifically, we propose estimators of the spectral measure locally at some time point and…
In this paper, joint asymptotics of powered maxima for a triangular array of bivariate powered Gaussian random vectors are considered. Under the H\"usler-Reiss condition, limiting distributions of powered maxima are derived. Furthermore,…
Testing two potentially multivariate variables for statistical dependence on the basis finite samples is a fundamental statistical challenge. Here we explore a family of tests that adapt to the complexity of the relationship between the…
Extreme values of real phenomena are events that occur with low frequency, but can have a large impact on real life. These are, in many practical problems, high-dimensional by nature (e.g. Tawn, 1990; Coles and Tawn, 1991). To study these…
We tackle the modeling of threshold exceedances in asymptotically independent stochastic processes by constructions based on Laplace random fields. These are defined as Gaussian random fields scaled with a stochastic variable following an…
Establishing causal relations between random variables from observational data is perhaps the most important challenge in today's \blue{science}. In remote sensing and geosciences this is of special relevance to better understand the…
We consider the extreme value theory of a hyperbolic toral automorphism $T: \mathbb{T}^2 \to \mathbb{T}^2$ showing that if a H\"older observation $\phi$ which is a function of a Euclidean-type distance to a non-periodic point $\zeta$ is…
Many environmental processes exhibit weakening spatial dependence as events become more extreme. Well-known limiting models, such as max-stable or generalized Pareto processes, cannot capture this, which can lead to a preference for models…