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Davit Varron

Publications and source records attributed to Davit Varron.

12 recordsLinked to original sources
arXiv2020

Extreme quantile regression in a proportional tail framework

We revisit the model of heteroscedastic extremes initially introduced by Einmahl et al. (JRSSB, 2016) to describe the evolution of a non stationary sequence whose extremes evolve over time and adapt it into a general extreme quantile regression framework. We provide estimates for the extreme value index and the integrated skedasis function and prove their asymptotic normality. Our results are quite similar to those developed for heteroscedastic extremes but with a different proof approach emphasizing coupling arguments. We also propose a pointwise estimator of the skedasis function and a Weissman estimator of the conditional extreme quantile and prove the asymptotic normality of both estimators.

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arXiv2019

The coupling method in extreme value theory

A coupling method is developed for univariate extreme value theory , providing an alternative to the use of the tail empirical/quantile processes. Emphasizing the Peak-over-Threshold approach that approximates the distribution above high threshold by the Generalized Pareto distribution, we compare the empirical distribution of exceedances and the empirical distribution associated to the limit Generalized Pareto model and provide sharp bounds for their Wasser-stein distance in the second order Wasserstein space. As an application , we recover standard results on the asymptotic behavior of the Hill estimator, the Weissman extreme quantile estimator or the probability weighted moment estimators, shedding some new light on the theory.

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arXiv2016

On the bracketing entropy condition and generalized empirical measures

We prove a Donsker and a Glivenko--Cantelli theorem for sequences of random discrete measures generalizing empirical measures. Those two results hold under standard conditions upon bracketing numbers of the indexing class of functions. As a byproduct, we derive a posterior consistency and a Bernstein--von Mises theorem for the Dirichlet process prior, under the topology of total variation, when the observation space is countable. We also obtain new information about the Durst--Dudley--Borisov theorem

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arXiv2012

Uniform in bandwidth exact rates for a class of kernel estimators

Given an i.i.d sample $(Y_i,Z_i)$, taking values in $\RRR^{d'}\times \RRR^d$, we consider a collection Nadarya-Watson kernel estimators of the conditional expectations $\EEE( +d_g(z)\mid Z=z)$, where $z$ belongs to a compact set $H\subset \RRR^d$, $g$ a Borel function on $\RRR^{d'}$ and $c_g(\cdot),d_g(\cdot)$ are continuous functions on $\RRR^d$. Given two bandwidth sequences $h_n<\wth_n$ fulfilling mild conditions, we obtain an exact and explicit almost sure limit bounds for the deviations of these estimators around their expectations, uniformly in $g\in\GG,\;z\in H$ and $h_n\le h\le \wth_n$ under mild conditions on the density $f_Z$, the class $\GG$, the kernel $K$ and the functions $c_g(\cdot),d_g(\cdot)$. We apply this result to prove that smoothed empirical likelihood can be used to build confidence intervals for conditional probabilities $\PPP(Y\in C\mid Z=z)$, that hold uniformly in $z\in H,\; C\in \CC,\; h\in [h_n,\wth_n]$. Here $\CC$ is a Vapnik-Chervonenkis class of sets.

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arXiv2012

A nonstandard uniform functional limit law for the increments of the multivariate empirical distribution function

Let $(Z_i)_{i\geq 1}$ be an independent, identically distributed sequence of random variables on $\RRR^d$. Under mild conditions on the density of $Z_1$, we provide a nonstandard uniform functional limit law for the following processes on $[0,1)^d$: $$Δ_n(z,h_n,\cdot):=s\mapsto \frac{\sliin 1_{[0,s_1]\times...\times[0,s_d]}\poo\frac{Z_i-z}{h_n^{1/d}}\pff}{c\log n},\;s\in [0,1)^d,$$ along a sequence $(h_n)\suite$ fulfilling $h_n\downarrow 0,\;nh_n\uparrow,\;nh_n/\log c\rar c>0$. Here $z$ ranges through a compact set of $\RRR^d$. This result is an extension of a theorem of Deheuvels and Mason (1992) to the multivariate, non uniform case.\lb

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arXiv2012

Some new almost sure results on the functional increments of the uniform empirical process

Given an observation of the uniform empirical process $\alp_n$, its functional increments $\alp_n(u+a_n\cdot)-\alp_n(u)$ can be viewed as a single random process, when $u$ is distributed under the Lebesgue measure. We investigate the almost sure limit behaviour of the multivariate versions of these processes as $\nif$ and $a_n\downarrow 0$. Under mild conditions on $a_n$, a convergence in distribution and functional limit laws are established. The proofs rely on a new extension of usual Poissonisation tools for the local empirical process.

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arXiv2012

Some asymptotic results on density estimators by wavelet projections

Let $(X_i)_{i\geq 1}$ be an i.i.d. sample on $\RRR^d$ having density $f$. Given a real function $ϕ$ on $\RRR^d$ with finite variation and given an integer valued sequence $(j_n)$, let $\fn$ denote the estimator of $f$ by wavelet projection based on $ϕ$ and with multiresolution level equal to $j_n$. We provide exact rates of almost sure convergence to 0 of the quantity $\sup_{x\in H}\mid \fn(x)-\EEE(\fn)(x)\mid$, when $n2^{-dj_n}/\log n \rar \infty$ and $H$ is a given hypercube of $\RRR^d$. We then show that, if $n2^{-dj_n}/\log n \rar c$ for a constant $c>0$, then the quantity $\sup_{x\in H}\mid \fn(x)-f\mid$ almost surely fails to converge to 0.

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arXiv2012

Non standard functional limit laws for the increments of the compound empirical distribution function

Let $(Y_i,Z_i)_{i\geq 1}$ be a sequence of independent, identically distributed (i.i.d.) random vectors taking values in $\RRR^k\times\RRR^d$, for some integers $k$ and $d$. Given $z\in \RRR^d$, we provide a nonstandard functional limit law for the sequence of functional increments of the compound empirical process, namely $$\mathbfΔ_{n,\cc}(h_n,z,\cdot):= \frac{1}{nh_n}\sliin 1_{[0,\cdot)}\poo \frac{Z_i-z}{{h_n}^{1/d}}\pff Y_i.$$ Provided that $nh_n\sim c\log n $ as $\nif$, we obtain, under some natural conditions on the conditional exponential moments of $Y\mid Z=z$, that $$\mathbfΔ_{n,\cc}(h_n,z,\cdot)\leadsto \Gam\text{almost surely},$$ where $\leadsto$ denotes the clustering process under the sup norm on $\Idd$. Here, $\Gam$ is a compact set that is related to the large deviations of certain compound Poisson processes.

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arXiv2008

A limited in bandwidth uniformity for the functional limit law of the increments of the empirical process

Consider the following local empirical process indexed by $K\in \mathcal{G}$, for fixed $h>0$ and $z\in \mathbb{R}^d$: $$G_n(K,h,z):=\sum_{i=1}^n K \Bigl(\frac{Z_i-z}{h^{1/d}}\Big) - \mathbbE \Bigl(K \Bigl(\frac{Z_i-z}{h^{1/d}}\Big)\Big),$$ where the $Z_i$ are i.i.d. on $\mathbb{R}^d$. We provide an extension of a result of Mason (2004). Namely, under mild conditions on $\mathcal{G}$ and on the law of $Z_1$, we establish a uniform functional limit law for the collections of processes $\bigl\{G_n(\cdot,h_n,z), z\in H, h\in [h_n,\mathfrak{h}_n]\big\}$, where $H\subset \mathbb{R}^d$ is a compact set with nonempty interior and where $h_n$ and $\mathfrak{h}_n$ satisfy the Csörgő-Révész-Stute conditions.

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