相关论文: Extrapolation of max-stable random fields with Fr\…
The problem of regression extrapolation, or out-of-distribution generalization, arises when predictions are required at test points outside the range of the training data. In such cases, the non-parametric guarantees for regression methods…
This paper focuses on the problem of the mean square optimal estimation of linear functionals which depend on the unknown values of a multidimensional stationary stochastic sequence. Estimates are based on observations of the sequence with…
Fluctuations of local fields are crucial for the prediction of failure in random composites across different scales as well as estimating the inelastic behaviour of it. This can be quantified statistically through second moments of the…
With any max-stable random process $\eta$ on $\mathcal{X}=\mathbb{Z}^d$ or $\mathbb{R}^d$, we associate a random tessellation of the parameter space $\mathcal{X}$. The construction relies on the Poisson point process representation of the…
The results of a series of theoretical studies are reported, examining the convergence rate for different approximate representations of $\alpha$-stable distributions. Although they play a key role in modelling random processes with jumps…
The ability to generate samples of the random effects from their conditional distributions is fundamental for inference in mixed effects models. Random walk Metropolis is widely used to conduct such sampling, but such a method can converge…
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…
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…
We study non-Gaussian random fields constructed by the selection normal distribution, and we term them selection Gaussian random fields. The selection Gaussian random field can capture skewness, multi-modality, and to some extend heavy…
The Ising model in the presence of a random field is investigated within the mean field approximation based on Landau expansion. The random field is drawn from the trimodal probability distribution $P(h_{i})=p \delta(h_{i}-h_{0}) + q \delta…
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 propose a method of estimating the uncertainty of a result obtained through extrapolation to the complete basis set limit. The method is based on an ensemble of random walks which simulate all possible extrapolation outcomes that could…
The paper suggests a simple method of deriving minimax lower bounds to the accuracy of statistical inference on heavy tails. A well-known result by Hall and Welsh (Ann. Statist. 12 (1984) 1079-1084) states that if $\hat{\alpha}_n$ is an…
In this contribution we discuss the relation between Pickands-type constants defined for certain Brown-Resnick stationary process $W(t),t\in R$ as $$\mathcal{H}_W^\delta= \lim_{T\to\infty} T^{-1} E{ \left(\sup_{t\in \delta Z \cap [0,T]}…
In this letter, we present a closed-form approximation of the outage probability for the multi-hop amplify-and-forward (AF) relaying systems with fixed gain in Rayleigh fading channel. The approximation is derived from the outage event for…
We consider the extremal shot noise defined by $$M(y)=\sup\{mh(y-x);(x,m)\in\Phi\},$$ where $\Phi$ is a Poisson point process on $\bbR^d\times (0,+\infty)$ with intensity $\lambda dxG(dm)$ and $h:\bbR^d\to [0,+\infty]$ is a measurable…
Let $X(t),t\in \mathbb{R}$ be a stochastically continuous stationary max-stable process with Fr\'{e}chet marginals $\Phi_\alpha, \alpha>0$ and set $M_X(T)=\sup_{t \in [0,T]} X(t),T>0$. In the light of the seminal articles [1,2], it follows…
We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular variation, we define the spatial extremogram which takes into…
Atypically large fluctuations in macroscopic non-equilibrium systems continue to attract interest. Their probability can often be determined by the optimal fluctuation method (OFM). The OFM brings about a conditional variational problem,…
This paper addresses the problem of estimating the tail index of distributions with heavy, Pareto-type tails for dependent data, that is of interest in the areas of finance, insurance, environmental monitoring and teletraffic analysis. A…