We develop a canonical framework for the study of the problem of registration of multiple point processes subjected to warping, known as the problem of separation of amplitude and phase variation. The amplitude variation of a real random function {Y(x) : x ...
We propose and prove a theorem that allows the calculation of a class of functionals on Poisson point processes that have the form of expected values of sum-products of functions. In proving the theorem, we present a variant of the Campbell-Mecke theorem f ...
The main approach to inference for multivariate extremes consists in approximating the joint upper tail of the observations by a parametric family arising in the limit for extreme events. The latter may be expressed in terms of componentwise maxima, high t ...
We consider a process Z on the real line composed from a Levy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of the supremum (Z) over bar, its time T, and the process Z(T + center dot) - (Z ...
Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long-and short-range dependence of extremes may both appear. In applications, an assum ...
We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...
We study stationary max-stable processes {n(t): t is an element of R} admitting a representation of the form n(t) = max(i is an element of N) (U-i +Y-i(t)), where Sigma(infinity)(i=1) delta U-i is a Poisson point process on R with intensity e(-u)du, and Y1 ...
Different than the conventional queueing systems, in spatial queueing systems (SQS) the service rate for each customer-server pairs differs and the server that intervenes for a specific customer is not known a priori, depending on the availability of serve ...
