Regular Score Tests of Independence in Multivariate Extreme Values

The score tests of independence in multivariate extreme values derived by Tawn (Tawn, J.A., “Bivariate extreme value theory: models and estimation,” Biometrika 75, 397–415, 1988) and Ledford and Tawn (Ledford, A.W. and Tawn, J.A., “Statistics for near independence in multivariate extreme values,” Biometrika 83, 169–187, 1996) have non-regular properties that arise due to violations of the usual regularity conditions of maximum likelihood. Two distinct types of regularity violation are encountered in each of their likelihood frameworks: independence within the underlying model corresponding to a boundary point of the parameter space and the score function having an infinite second moment. For applications, the second form of regularity violation has the more important consequences, as it results in score statistics with non-standard normalisation and poor rates of convergence. The corresponding tests are difficult to use in practical situations because their asymptotic properties are unrepresentative of their behaviour for the sample sizes typical of applications, and extensive simulations may be needed in order to evaluate adequately their null distribution. Overcoming this difficulty is the primary focus of this paper. We propose a modification to the likelihood based approaches used by Tawn (Tawn, J.A., “Bivariate extreme value theory: models and estimation,” Biometrika 75, 397–415, 1988) and Ledford and Tawn (Ledford, A.W. and Tawn, J.A., “Statistics for near independence in multivariate extreme values,” Biometrika 83, 169–187, 1996) that provides asymptotically normal score tests of independence with regular normalisation and rapid convergence. The resulting tests are straightforward to implement and are beneficial in practical situations with realistic amounts of data. AMS 2000 Subject Classification Primary—60G70 Secondary—62H15     

On Domains of Attraction of Multivariate Extreme Value Distributions under Absolute Continuity

The paper gives sufficient conditions for domains of attraction of multivariate extreme value distributions. Under the assumption of absolute continuity of a multivariate distribution, the criteria enable one to examine, by using limits of some rescaled conditional densities, whether the distribution belongs to the domain of attraction of some multivariate extreme value distribution. If this is the case, the criteria also determine how to construct such an extreme value distribution. Unlike the criterion given by de Haan and Resnick [1987,Stochastic Process. Appl.2583–93], the criteria are easily applicable even when the marginal tails are not Pareto-like.     

On contraction properties of Markov kernels

 We study Lipschitz contraction properties of general Markov kernels seen as operators on spaces of probability measures equipped with entropy-like ``distances'. Universal quantitative bounds on the associated ergodic constants are deduced from Dobrushin's ergodic coefficient. Strong contraction properties in Orlicz spaces for relative densities are proved under more restrictive mixing assumptions. We also describe contraction bounds in the entropy sense around arbitrary probability measures by introducing a suitable Dirichlet form and the corresponding modified logarithmic Sobolev constants. The interest in these bounds is illustrated on the example of inhomogeneous Gaussian chains. In particular, the existence of an invariant measure is not required in general. Received: 31 October 2000 / Revised version: 21 February 2003 / Published online: 12 May 2003 L. Miclo also thanks the hospitality and support of the Instituto de Matemática Pura e Aplicada, Rio de Janeiro, Brasil, where part of this work was done. Mathematics Subject Classification (2000): 60J05, 60J22, 37A30, 37A25, 39A11, 39A12, 46E39, 28A33, 47D07 Key words or phrases: Lipschitz contraction – Generalized relative entropy – Markov kernel – Dobrushin's ergodic coefficient – Orlicz norm – Dirichlet form – Spectral gap – Modified logarithmic Sobolev inequality – Inhomogeneous Gaussian chains – Loose of memory property     

?-measure for continuous state branching processes and its application

In this paper, we first give a direct construction of the ℕ-measure of a continuous state branching process. Then we prove, with the help of this ℕ-measure, that any continuous state branching process with immigration can be constructed as the independent sum of a continuous state branching process (without immigration), and two immigration parts (jump immigration and continuum immigration). As an application of this construction of a continuous state branching process with immigration, we give a proof of a necessary and sufficient condition, first stated without proof by M. A. Pinsky [Bull. Amer. Math. Soc., 1972, 78: 242–244], for a continuous state branching process with immigration to a proper almost sure limit. As another application of the ℕ-measure, we give a “conceptual” proof of an L log L criterion for a continuous state branching process without immigration to have an L ¹-limit first proved by D. R. Grey [J. Appl. Prob., 1974, 11: 669–677].     

Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions

In the last decades there has been a shift from the parametric statistics of extremes for IID random variables, based on the probabilistic asymptotic results in extreme value theory, towards a semi-parametric approach, where the estimation of the right tail-weight, under a quite general framework, is of major importance. After a brief presentation of classical Gumbel’s block methodology and of later improvements in the parametric framework (multivariate and multi-dimensional extreme value models for largest observations and peaks over threshold approaches), we present a coordinated overview, over the last three decades, of the developments on the estimation of the extreme value index under a semiparametric framework. Laurens de Haan has been one of the leading scientists in the field, (co-)author of many seminal ideas, that he generously shared with dozens (literally) of colleagues and students, thus achieving one of the main goals in a scientist’s life: he gathered around him a bunch of colleagues united in the endeavour of building knowledge. The last section is a personal tribute to Laurens, who fully lives his ideal that co-operation is the heart of Science. To Laurens de Haan, a token of friendship.     

Modal operators on bounded commutative residuated <Emphasis Type="Italic">ℓ</Emphasis>-monoids

Bounded commutative residuated lattice ordered monoids (Rℓ-monoids) are a common generalization of, e.g., Heyting algebras and BL-algebras, i.e., algebras of intuitionistic logic and basic fuzzy logic, respectively. Modal operators (special cases of closure operators) on Heyting algebras were studied in [MacNAB, D. S.: Modal operators on Heyting algebras, Algebra Universalis 12 (1981), 5–29] and on MV-algebras in [HARLENDEROVá,M.—RACHŮNEK, J.: Modal operators on MV-algebras, Math. Bohem. 131 (2006), 39–48]. In the paper we generalize the notion of a modal operator for general bounded commutative Rℓ-monoids and investigate their properties also for certain derived algebras. The first author was supported by the Council of Czech Government, MSM 6198959214.     

A category Ψ-density topology

Ψ-density point of a Lebesgue measurable set was introduced by Taylor in [Taylor S.J., On strengthening the Lebesgue Density Theorem, Fund. Math., 1958, 46, 305–315] and [Taylor S.J., An alternative form of Egoroff’s theorem, Fund. Math., 1960, 48, 169–174] as an answer to a problem posed by Ulam. We present a category analogue of the notion and of the Ψ-density topology. We define a category analogue of the Ψ-density point of the set A at a point x as the Ψ-density point at x of the regular open representation of A.     

Some notes on densely continuous forms

We consider a special space of set-valued functions (multifunctions), the space of densely continuous forms D(X, Y) between Hausdorff spaces X and Y, defined in [HAMMER, S. T.—McCOY, R. A.: Spaces of densely continuous forms, Set-Valued Anal. 5 (1997), 247–266] and investigated also in [HOLá, L’.: Spaces of densely continuous forms, USCO and minimal USCO maps, Set-Valued Anal. 11 (2003), 133–151]. We show some of its properties, completing the results from the papers [HOLY, D.—VADOVIČ, P.: Densely continuous forms, pointwise topology and cardinal functions, Czechoslovak Math. J. 58(133) (2008), 79–92] and [HOLY, D.—VADOVIČ, P.: Hausdorff graph topology, proximal graph topology and the uniform topology for densely continuous forms and minimal USCO maps, Acta Math. Hungar. 116 (2007), 133–144], in particular concerning the structure of the space of real-valued locally bounded densely continuous forms D _p ^*(X) equipped with the topology of pointwise convergence in the product space of all nonempty-compact-valued multifunctions. The paper also contains a comparison of cardinal functions on D _p ^*(X) and on real-valued continuous functions C _p (X) and a generalization of a sufficient condition for the countable cellularity of D _p ^*(X). This work was supported by Science and Technology Assistance Agency under the contract No. APVT-51-006904 and by the Eco-Net (EGIDE) programme of the Laboratoire de Mathématiques de l’Université de Saint-Etienne (LaMUSE), France.     

A note on slant submanifolds of nearly trans-Sasakian manifolds

The geometry of slant submanifolds of a nearly trans-Sasakian manifold is studied when the tensor field Q is parallel. It is proved that Q is not parallel on the submanifold unless it is anti-invariant and thus the result of [CABRERIZO, J. L.—CARRIAZO, A.—FERNANDEZ, L. M.—FERNANDEZ, M.: Slant submanifolds in Sasakian manifolds, Glasg. Math. J. 42 (2000), 125–138] and [GUPTA, R. S.—KHURSHEED HAIDER, S. M.—SHARFUDIN, A.: Slant submanifolds of a trans-Sasakian manifold, Bull. Math. Soc. Sci. Math. Roumanie (N.S.) 47 (2004), 45–57] are generalized.     

A formula for deficiency (L-andR-tests)

In this paper an analogue of the formulas [D. M. Chibisov,Teor. Veroyatn. Primen.,30, 269–288 (1985);Izv. Akad. Nauk UzSSR,6, 23–30 (1982)] for the difference between the power of a given asymptotically efficient test and that of the most powerful test is justified for one-sample L-and R-tests, i.e., tests based on linear combinations of order statistics and linear rank statistics. This formula directly yields the Hodges-Lehmann deficiency of corresponding tests. A general theorem is stated which is applied to L-and R-tests. The explicit expressions given by this formula for L- and R-tests are also presented. The expression related to R-tests agrees with the one obtained in [W. Albers, P. J. Bickel, and W. R. Van Zwet,Ann. Statist.,4, 108–156 (1976);6, 1170–1171 (1978)]. We present here a nontechnical (heuristic) proof of these results. Supported by the Russian Foundation for Fundamental Research (grant No. 93-011-1446). Proceedings of the XVI Seminar on Stability Problems for Stochastic Models, Part II, Eger, Hungary, 1994.     

Semidefinite bounds for the stability number of a graph via sums of squares of polynomials

Lovász and Schrijver (SIAM J. Optim. 1:166–190, 1991) have constructed semidefinite relaxations for the stable set polytope of a graph G = (V,E) by a sequence of lift-and-project operations; their procedure finds the stable set polytope in at most α(G) steps, where α(G) is the stability number of G. Two other hierarchies of semidefinite bounds for the stability number have been proposed by Lasserre (SIAM J. Optim. 11:796–817, 2001; Lecture Notes in Computer Science, Springer, Berlin Heidelberg New York, pp 293–303, 2001) and by de Klerk and Pasechnik (SIAM J. Optim. 12:875–892), which are based on relaxing nonnegativity of a polynomial by requiring the existence of a sum of squares decomposition. The hierarchy of Lasserre is known to converge in α(G) steps as it refines the hierarchy of Lovász and Schrijver, and de Klerk and Pasechnik conjecture that their hierarchy also finds the stability number after α(G) steps. We prove this conjecture for graphs with stability number at most 8 and we show that the hierarchy of Lasserre refines the hierarchy of de Klerk and Pasechnik.      

Smoothing the Moment Estimator of the Extreme Value Parameter

Let {X _n be a sequence of i.i.d. random variables whose common distribution F belongs to the domain of attraction of an extreme value law. A semi-parametric estimator of the extreme value parameter is the Dekkers, Einmahl and de Haan [8] moment estimator. Practical use of this estimator requires the problematic choice of a number k=k(n) of upper order statistics and there are few reliable guidelines for this choice. An averaging or smoothing technique is proposed for this estimator yielding a less volatile function of k which in practice aids estimation.     

Bootstrap approximation of tail dependence function

For estimating a rare event via the multivariate extreme value theory, the so-called tail dependence function has to be investigated (see [L. de Haan, J. de Ronde, Sea and wind: Multivariate extremes at work, Extremes 1 (1998) 7-45]). A simple, but effective estimator for the tail dependence function is the tail empirical distribution function, see [X. Huang, Statistics of Bivariate Extreme Values, Ph.D. Thesis, Tinbergen Institute Research Series, 1992] or [R. Schmidt, U. Stadtmüller, Nonparametric estimation of tail dependence, Scand. J. Stat. 33 (2006) 307-335]. In this paper, we first derive a bootstrap approximation for a tail dependence function with an approximation rate via the construction approach developed by [K. Chen, S.H. Lo, On a mapping approach to investigating the bootstrap accuracy, Probab. Theory Relat. Fields 107 (1997) 197-217], and then apply it to construct a confidence band for the tail dependence function. A simulation study is conducted to assess the accuracy of the bootstrap approach.     

An analogue of the Duistermaat-van der Kallen theorem for group algebras

Let G be a group, R an integral domain, and V _G the R-subspace of the group algebra R[G] consisting of all the elements of R[G] whose coefficient of the identity element 1 _G of G is equal to zero. Motivated by the Mathieu conjecture [Mathieu O., Some conjectures about invariant theory and their applications, In: Algèbre non Commutative, Groupes Quantiques et Invariants, Reims, June 26–30, 1995, Sémin. Congr., 2, Société Mathématique de France, Paris, 1997, 263–279], the Duistermaat-van der Kallen theorem [Duistermaat J.J., van der Kallen W., Constant terms in powers of a Laurent polynomial, Indag. Math., 1998, 9(2), 221–231], and also by recent studies on the notion of Mathieu subspaces, we show that for finite groups G, V _G also forms a Mathieu subspace of the group algebra R[G] when certain conditions on the base ring R are met. We also show that for the free abelian groups G = ℤ ⁿ , n ≥ 1, and any integral domain R of positive characteristic, V _G fails to be a Mathieu subspace of R[G], which is equivalent to saying that the Duistermaat-van der Kallen theorem cannot be generalized to any field or integral domain of positive characteristic.     

A smoothed GPY sieve

Combining the arguments developed in the works of D. A. Goldston,S. W. Graham, J. Pintz, and C. Y. Yildirim [Preprint, 2005,arXiv: math.NT/506067] and Y. Motohashi [Number theory in progress– A. Schinzel Festschrift (de Gruyter, 1999) 1053–1064]we introduce a smoothing device to the sieve procedure of Goldston,Pintz, and Yildirim (see [Proc. Japan Acad. 82A (2006) 61–65]for its simplified version). Our assertions embodied in Lemmas3 and 4 of this article imply that a natural extension of aprime number theorem of E. Bombieri, J. B. Friedlander, andH. Iwaniec [Theorem 8 in Acta Math. 156 (1986) 203–251]should give rise infinitely often to bounded differences betweenprimes, that is, a weaker form of the twin prime conjecture.     

One-regular Normal Cayley Graphs on Dihedral Groups of Valency 4 or 6 with Cyclic Vertex Stabilizer

A graph G is one-regular if its automorphism group Aut（G） acts transitively and semiregularly on the arc set. A Cayley graph Cay（Г, S） is normal if Г is a normal subgroup of the full automorphism group of Cay（Г, S）. Xu, M. Y., Xu, J. （Southeast Asian Bulletin of Math., 25, 355-363 （2001）） classified one-regular Cayley graphs of valency at most 4 on finite abelian groups. Marusic, D., Pisanski, T. （Croat. Chemica Acta, 73, 969-981 （2000）） classified cubic one-regular Cayley graphs on a dihedral group, and all of such graphs turn out to be normal. In this paper, we classify the 4-valent one-regular normal Cayley graphs G on a dihedral group whose vertex stabilizers in Aut（G） are cyclic. A classification of the same kind of graphs of valency 6 is also discussed.     

An exact bootstrap for variance of finite-population <Emphasis Type="BoldItalic">L</Emphasis>-statistic

We give an exact formula of a finite-population bootstrap variance estimator for a general class of L-statistic. It is aimed to reduce the computational burden and to eliminate the approximation error, typically present in resampling approximations based on simulation. In the case of the classical nonparametric Efron bootstrap, a similar formula was shown by Hutson and Ernst [A.D. Hutson and M.D. Ernst, The exact bootstrap mean and variance of an L-estimator, J. R. Stat. Soc., Ser. B, 62:89–94, 2000].     

It was 30 years ago today when Laurens de Haan went the multivariate way

Since the publication of his masterpiece on regular variation and its application to the weak convergence of (univariate) sample extremes in 1970, Laurens de Haan (Thesis, Mathematical Centre Tract vol. 32, University of Amsterdam, 1970) is among the leading mathematicians in the world, with a particular focus on extreme value theory (EVT). On the occasion of his 70th birthday it is a great pleasure and a privilege to follow his route through multivariate EVT, which started only seven years later in 1977, when Laurens de Haan published his first paper on multivariate EVT, jointly with Sid Resnick.