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05/26/2023
An asymptotic expansion of the empirical angular measure for bivariate extremal dependence
The angular measure on the unit sphere characterizes the first-order dep...
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05/10/2023
Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence
A novel linear integration rule called control neighbors is proposed in ...
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10/25/2022
Statistical Inference for Hüsler-Reiss Graphical Models Through Matrix Completions
The severity of multivariate extreme events is driven by the dependence ...
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09/29/2022
Max-linear graphical models with heavy-tailed factors on trees of transitive tournaments
Graphical models with heavy-tailed factors can be used to model extremal...
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08/04/2022
Graphical and uniform consistency of estimated optimal transport plans
A general theory is provided delivering convergence of maximal cyclicall...
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07/29/2022
Modelling multivariate extreme value distributions via Markov trees
Multivariate extreme value distributions are a common choice for modelli...
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05/24/2022
A Quadrature Rule combining Control Variates and Adaptive Importance Sampling
Driven by several successful applications such as in stochastic gradient...
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03/16/2022
Tail inference using extreme U-statistics
Extreme U-statistics arise when the kernel of a U-statistic has a high d...
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12/09/2021
Extremes of Markov random fields on block graphs
We study the joint occurrence of large values of a Markov random field o...
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10/12/2021
Uniform concentration bounds for frequencies of rare events
New Vapnik and Chervonkis type concentration inequalities are derived fo...
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04/28/2021
Measuring dependence between random vectors via optimal transport
To quantify the dependence between two random vectors of possibly differ...
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04/07/2021
Concentration bounds for the empirical angular measure with statistical learning applications
The angular measure on the unit sphere characterizes the first-order dep...
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06/16/2020
Risk bounds when learning infinitely many response functions by ordinary linear regression
Consider the problem of learning a large number of response functions si...
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03/14/2020
Multivariate goodness-of-Fit tests based on Wasserstein distance
Goodness-of-fit tests based on the empirical Wasserstein distance are pr...
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01/30/2020
Empirical tail copulas for functional data
For multivariate distributions in the domain of attraction of a max-stab...
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01/26/2020
Inference on extremal dependence in a latent Markov tree model attracted to a Hüsler-Reiss distribution
A Markov tree is a probabilistic graphical model for a random vector by ...
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06/26/2019
Control variate selection for Monte Carlo integration
Monte Carlo integration with variance reduction by means of control vari...
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05/29/2019
On Some Resampling Procedures with the Empirical Beta Copula
The empirical beta copula is a simple but effective smoother of the empi...
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11/29/2018
Stability and tail limits of transport-based quantile contours
We extend Robert McCann's treatment of the existence and uniqueness of a...
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02/27/2018
Identifying groups of variables with the potential of being large simultaneously
Identifying groups of variables that may be large simultaneously amounts...
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02/09/2018
Bayesian inference for bivariate ranks
A recommender system based on ranks is proposed, where an expert's ranki...
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01/05/2018