JC
J. Cai
22 records found
1
We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positively associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of the marginal expected shortfall, whic
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Temporal bipartite networks that describe how users interact with tasks or items over time have recently become available. Such temporal information allows us to explore user behavior in-depth. We propose two metrics, the relative switch frequency and distraction in time to measu
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Aiming to estimate extreme precipitation forecast quantiles, we propose a nonparametric regression model that features a constant extreme value index. Using local linear quantile regression and an extrapolation technique from extreme value theory, we develop an estimator for cond
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The estimation of high quantiles for very low probabilities of exceedance pn much smaller than 1/n (with n the sample size) remains a major challenge. For this purpose, the log-Generalized Weibull (log-GW) tail limit was recently proposed as regularity condition as an alternative
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We propose an estimator of the marginal expected shortfall by considering a log transformation of a variable which has an infinite expectation. We establish the asymptotic normality of our estimator under general assumptions. A simulation study suggests that the estimation proced
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One of Risso’s dolphin’s distinctive characteristics is the tendency to “lighten” with age due to the accumulation of unpigmented scars. These accumulated scars may provide an indication of age. Photographic skin recaptures gathered from 61 free-ranging animals over a period of 1
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Applying extreme value statistics in meteorology and environmental science requires accurate estimators on extreme value indices that can be around zero. Without having prior knowledge on the sign of the extreme value indices, the probability weighted moment (PWM) estimator is a
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When considering d possibly dependent random variables, one is often interested in extreme risk regions, with very small probability p. We consider risk regions of the form {z ∈ ℝd : f(z) ≤ β}, where f is the joint density and β a small number. Estimation of such an extreme risk
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In this paper, we provide an asymptotic expression for mean integrated squared error (MISE) of nonlinear wavelet density estimator for a truncation model. It is assumed that the lifetime observations form a stationary α-mixing sequence. Unlike for kernel estimator, the MISE expre
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The CMS Hadron Calorimeter in the barrel, endcap and forward regions is fully commissioned. Cosmic ray data were taken with and without magnetic field at the surface hall and after installation in the experimental hall, hundred meters underground. Various measurements were also p
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