相关论文: Free extreme values

Advanced science and technology provide a wealth of big data from different sources for extreme value analysis. Classical extreme value theory was extended to obtain an accelerated max-stable distribution family for modelling competing…

Regularly varying stochastic processes are able to model extremal dependence between process values at locations in random fields. We investigate the empirical extremogram as an estimator of dependence in the extremes. We provide conditions…

In extreme value analysis, sensitivity of inference to the definition of extreme event is a paramount issue. Under the peaks-over-threshold (POT) approach, this translates directly into the need of fitting a Generalized Pareto distribution…

We consider a two-speed branching random walk, which consists of two macroscopic stages with different reproduction laws. We prove that the centered maximum converges in law to a Gumbel variable with a random shift and the extremal process…

We investigate relations between additive convolution semigroup and max-convolution semigroup through the law of large numbers for the free multiplicative convolution. Based on the relation, we give a formula related with Belinschi-Nica…

Multivariate extreme value theory assumes a multivariate domain of attraction condition for the distribution of a random vector. This necessitates that each component satisfies a marginal domain of attraction condition. An approximation of…

We suggest approximating the distribution of the sum of independent and identically distributed random variables with a Pareto-like tail by combining extreme value approximations for the largest summands with a normal approximation for the…

We demonstrate how sophisticated graph properties, such as small distances and scale-free degree distributions, arise naturally from a reinforcement mechanism on layered graphs. Every node is assigned an a-priori i.i.d. fitness with…

The object of this paper is twofold. From one side we study the dichotomy, in terms of the Extremal Index of the possible Extreme Value Laws, when the rare events are centred around periodic or non periodic points. Then we build a general…

We investigate a branching random walk where the displacements are independent from the branching mechanism and have a stretched exponential distribution. We describe the positions of the particles in the vicinity of the rightmost particle…

Here we give a necessary and sufficient condition for the convergence to a random max infinitely divisible law from that of a random maximum. We then discuss random max-stable laws, their domain of max-attraction and the associated extremal…

Extreme values are considered in samples with random size that has a mixed Poisson distribution being generated by a doubly stochastic Poisson process. We prove some inequalities providing bounds on the rate of convergence in limit theorems…

Define the scaled empirical point process on an independent and identically distributed sequence $\{Y_i: i\le n\}$ as the random point measure with masses at $a_n^{-1} Y_i$. For suitable $a_n$ we obtain the weak limit of these point…

The concept of free extreme value distributions as universal limit laws for the spectral maximum of free noncommutative real random variables was discovered by Ben Arous and Voiculescu in 2006. This paper contributes to study the…

We introduce new homomorphisms relative to additive convolutions and max-convolutions in free, boolean and classical cases. Crucial roles are played by the limit distributions for free multiplicative law of large numbers.

We pursue the current developments in random tensor theory by laying the foundations of a free probability theory for tensors and establish its relevance in the study of random tensors of high dimension. We give a definition of freeness…

Multivariate extreme value distributions are a common choice for modelling multivariate extremes. In high dimensions, however, the construction of flexible and parsimonious models is challenging. We propose to combine bivariate max-stable…

Extreme value theory is part and parcel of any study of order statistics in one dimension. Our aim here is to consider such large sample theory for the maximum distance to the origin, and the related maximum "interpoint distance," in…

We obtain a formula for the density of the free convolution of an arbitrary probability measure on the unit circle of $\mathbb{C}$ with the free multiplicative analogues of the normal distribution on the unit circle. This description relies…

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…