Monotonicity of the tail dependence for multivariate t-copula

This paper considers the upper orthant and extremal tail dependence indices for multivariate t-copula. Where, the multivariate t-copula is defined under a correlation structure. The explicit representations of the tail dependence parameters are deduced since the copula of continuous variables is invariant under strictly increasing transformation about the random variables, which are more simple than those obtained in previous research. Then, the local monotonicity of these indices about the correlation coefficient is discussed, and it is concluded that the upper extremal dependence index increases with the correlation coefficient, but the monotonicity of the upper orthant tail dependence index is complex. Some simulations are performed by the Monte Carlo method to verify the obtained results, which are found to be satisfactory. Meanwhile, it is concluded that the obtained conclusions can be extended to any distribution family in which the generating random variable has a regularly varying distribution.

Limit theorems for supremum of Gaussian processes over a random interval

Let {X(t), t ≥ 0} be a centered stationary Gaussian process with correlation r(t)such that 1-r(t) is asymptotic to a regularly varying function. With T being a nonnegative random variable and independent of X(t), the exact asymptotics of P(sup_(t∈[0,T])X(t) > x) is considered, as x → ∞.

Limsup Results and LIL for Partial Sum Processes of a Gaussian Random Field

Let {ξ j ; j ∈ ℤ+ d be a centered stationary Gaussian random field, where ℤ+ d is the d-dimensional lattice of all points in d-dimensional Euclidean space ℝd, having nonnegative integer coordinates. For each j = (j 1 , ..., jd) in ℤ+ d , we denote |j| = j 1 ... j d and for m, n ∈ ℤ+ d , define S(m, n] = Σ m【j≤n ζ j , σ2(|n−m|) = ES 2 (m, n], S n = S(0, n] and S 0 = 0. Assume that σ(|n|) can be extended to a continuous function σ(t) of t 】 0, which is nondecreasing and regularly varying with exponent α at b ≥ 0 for some 0 【 α 【 1. Under some additional conditions, we study limsup results for increments of partial sum processes and prove as well the law of the iterated logarithm for such partial sum processes.

Multi-Type Directed Scale-Free Percolation

In this paper,we study a long-range percolation model on the lattice Z d with multi-type vertices and directed edges.Each vertex x ∈ Z d is independently assigned a non-negative weight Wx and a type ψx,where(Wx) x∈Z d are i.i.d.random variables,and(ψx) x∈Z d are also i.i.d.Conditionally on weights and types,and given λ,α > 0,the edges are independent and the probability that there is a directed edge from x to y is given by pxy = 1 exp(λφψ x ψ y WxWy /| x-y | α),where φij 's are entries from a type matrix Φ.We show that,when the tail of the distribution of Wx is regularly varying with exponent τ-1,the tails of the out/in-degree distributions are both regularly varying with exponent γ = α(τ-1) /d.We formulate conditions under which there exist critical values λ WCC c ∈(0,∞) and λ SCC c ∈(0,∞) such that an infinite weak component and an infinite strong component emerge,respectively,when λ exceeds them.A phase transition is established for the shortest path lengths of directed and undirected edges in the infinite component at the point γ = 2,where the out/in-degrees switch from having finite to infinite variances.The random graph model studied here features some structures of multi-type vertices and directed edges which appear naturally in many real-world networks,such as the SNS networks and computer communication networks.

Path properties of l_p-valued Gaussian random fields

General limit theorems are established for l^p-valued Gaussian random fields indexed by a multidimensional parameter,which contain both almost sure moduli of continuity and limits of large increments for the l^p-valued Gaussian random fields under(?)explicit conditions.

On the Seneta Sequences

In this paper, we prove some properties of the Seneta sequences and functions, and in particular we prove a representation theorem in the Karamata sense for the sequences from the Seneta class SOc.