Heavy Tails, Long-Range Dependence, and Beyond
Queues lourdes, dépendance de long terme et au-delà
4 – 8 July, 2022
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Scientific Committee
Comité scientifique Raluca Balan (University of Ottawa) |
Organizing Committee
Comité d’organisation Hermine Biermé (Université de Poitiers) |
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This workshop will focus on strongly interconnected subjects: heavy tails, long–range dependence, extremes, and other random structures. First, heavy tails, extremes and long–range dependence are the areas with a long history in probability theory, with many exciting and far–reaching applications in statistics, operations research, finance and insurance, among others. The workshop will focus on the probabilistic aspects and in particular will showcase the latest advances on stochastic models and processes where the heavy tails and long–range dependence interact with each other. Second, the workshop shall also provide an opportunity to showcase recent developments in a few related areas, including in particular large sample covariance matrices, random networks, and random graphs, to the community of researchers working on heavy tails and long–range dependence. Third, the workshop shall provide opportunities for junior people in these areas to learn from the leading researchers, exchange ideas with other peers, present their own results to the community, and foster further collaborations. In particular, two expository lectures by leading experts, one on heavy tails and regular variations and the other on random convex hulls, will be given for junior participants. There will also be a poster session aimed at junior scholars.
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Cette conférence portera sur les sujets suivants : queues lourdes, dépendance à longue distance, extrêmes et autres structures. Premièrement, les queues lourdes, les extrêmes et la dépendance à longue distance sont les domaines ayant une longue histoire en théorie des probabilités, avec de nombreuses applications dans les statistiques, la recherche opérationnelle, la finance et l’assurance, entre autres. La conférence se concentrera sur les aspects probabilistes et présentera en particulier les dernières avancées en matière de modèles et processus stochastiques dans lesquels les queues lourdes et la dépendance à long terme interagissent. Deuxièmement, la conférence sera l’occasion de présenter à la communauté de chercheurs travaillant sur les queues lourdes et la dépendance à long terme, les développements récents dans quelques domaines connexes, notamment matrices de covariance à grand échantillon, réseaux aléatoires et les graphiques aléatoires. Troisièmement, la conférence offrira aux jeunes chercheurs de ces domaines l’occasion d’apprendre des meilleurs experts, d’échanger des idées, de présenter leurs résultats et de commencer des collaborations. En particulier, deux cours d’introduction par des experts éminents, l’un sur les queues lourdes et les variations régulières, l’autre sur les enveloppes convexes aléatoires, seront donnés aux jeunes chercheurs. Il y aura aussi une session de posters destinée aux jeunes chercheurs.
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Fabien Baeriswyl (Université de Lausanne) Multivariate regular variation in marked cluster processes
Shuyang Bai (University of Georgia) Can a local cluster always reveal the global extremal index?
Raluca Balan (University of Ottawa) Functional limit theorems for regularly varying processes
Bojan Basrak (University of Zagreb) Extremal behavior of stationary point processes with scores
Dariusz Buraczewski (University of Wrocław) On solutions to stochastic recurrence equations
Gloria Buritica (Sorbonne Université) High return levels inference for heavy rainfall modeling
Zaoli Chen (University of Ottawa) Does the single-big-jump principle hold under long memory ?
Youssouph Cissokho (University of Ottawa) Sliding blocks and runs estimators in the PoT framework
Ewa Damek (University of Wrocław) Stochastic difference equation with diagonal matrices
Richard Davis (Columbia University) Time series estimation of the dynamic effects of disaster-type shocks
Iouri Davydov (Université Lille 1) Randomized limit theorems for stationary processes
Holger Drees (University of Hamburg) Statistical Analysis of a Changing Dependence Structure of Extremes
Olivier Durieu (Université de Tours) Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
Vicky Fasen-Hartmann (Karlsruher Institute of Technology) Empirical spectral processes for stationary state space processes
Rajat Subhra Hazra (Leiden University) Branching Random Walk with infinite progeny mean
Johannes Heiny (Ruhr University Bochum) An extreme value approach to relevant hypotheses
Manuel Hentschel (Université de Genève) Statistical Inference on Husler-Reiss graphical models
Henrik Hult (Royal Institute of Technology) Power-laws and weak convergence of the Kingman coalescent
Anja Janssen (University of Magdeburg) Mini course on regularly varying time series
Celine Lacaux (Université d’ Avignon) Fractional Gaussian fields on Sierpinski gasket
Takashi Owada (Purdue University) Large deviation principle for geometric and topological functionals and associated point process
Simone Padoan (Bocconi University of Milan) Empirical Bayes inference for the block maxima method
Ricardo Passeggeri (Imperial College London) Extremes for Stationary regularly varying random fields over arbitrary index sets
Vytauté Pilipauskaité (University of Luxembourg) Local scaling limits of Levy driven fractional random fields
Frank Röttger (Université de Genève) Total positivity in graphical models for extremes
Francois Roueff (Télécom Paris) Fractional integration in the spectral domain for processes valued in a separable Hilbert space
Gennady Samorodnitsky (Cornell University) A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence
Stilian Stoev (University of Michigan) Function valued random fields: Tangents, intrinsic stationarity, self-similarity
Kirstin Strokorb (Cardiff University) Conditional Independence in Extremes
Charles Tillier (Université de Versailles) Regular variation of marked point processes
Guo Jhen Wu (KTH Royal Institute of Technology) Quasi-stationary distributions and ergodic control problems
