Extreme value methods with applications to finance

SY Novak - Monographs on Statistics and Applied Probability, 2011 - api.taylorfrancis.com
Extreme value theory (EVT) deals with extreme (rare) events. Such events/variables are
often reported as outliers. In some textbooks one can find recommendations to remove …

Nonrandom clusters of palindromes in herpesvirus genomes

MY Leung, KP Choi, A **a, LHY Chen - Journal of Computational …, 2005 - liebertpub.com
Palindromes are symmetrical words of DNA in the sense that they read exactly the same as
their reverse complementary sequences. Representing the occurrences of palindromes in a …

Stein's method and birth-death processes

TC Brown, A **a - Annals of probability, 2001 - JSTOR
Barbour introduced a probabilistic view of Stein's method for estimating the error in
probability approximations. However, in the case of approximations by general distributions …

Functional Poisson approximation in Kantorovich–Rubinstein distance with applications to U-statistics and stochastic geometry

L Decreusefond, M Schulte, C Thäle - The Annals of Probability, 2016 - projecteuclid.org
A Poisson or a binomial process on an abstract state space and a symmetric function $ f $
acting on $ k $-tuples of its points are considered. They induce a point process on the target …

Stein's method, Palm theory and Poisson process approximation

LHY Chen, A **a - 2004 - projecteuclid.org
The framework of Stein's method for Poisson process approximation is presented from the
point of view of Palm theory, which is used to construct Stein identities and define local …

Approximating dependent rare events

LHY Chen, A Röllin - 2013 - projecteuclid.org
In this paper we give a historical account of the development of Poisson approximation
using Stein's method and present some of the main results. We give two recent applications …

Stein's method and Poisson process approximation

A **a - An introduction to Stein's method, 2005 - books.google.com
The chapter begins with an introduction to Poisson processes on the real line and then to
Poisson point processes on a locally compact complete separable metric space. The focus …

Multivariate Poisson-binomial approximation using Stein's method

AD Barbour - Stein's method and applications, 2005 - books.google.com
The paper is concerned with the accuracy in total variation of the approximation of the
distribution of a sum of independent Bernoulli distributed random d-vectors by the product …

Poisson process approximation for dependent superposition of point processes

LHY Chen, A **a - 2011 - projecteuclid.org
Although the study of weak convergence of superpositions of point processes to the Poisson
process dates back to the work of Grigelionis in 1963, it was only recently that Schuhmacher …

Non-equilibrium statistical physics of currents in queuing networks

VY Chernyak, M Chertkov, DA Goldberg… - Journal of Statistical …, 2010 - Springer
We consider a stable open queuing network as a steady non-equilibrium system of
interacting particles. The network is completely specified by its underlying graphical …