solidot新版网站常见问题,请点击这里查看。
消息
本文已被查看1814次
On relations between extreme value statistics, extreme random matrices and Peak-Over-Threshold method. (arXiv:1711.03459v1 [math-ph])
来源于:arXiv
Using the thinning method, we explain the link between classical
Fisher-Tippett-Gnedenko classification of extreme events and their free
analogue obtained by Ben Arous and Voiculescu in the context of free
probability calculus. In particular, we present explicit examples of large
random matrix ensembles, realizing free Weibull, free Fr\'{e}chet and free
Gumbel limiting laws, respectively. We also explain, why these free laws are
identical to Balkema-de Haan-Pickands limiting distribution for exceedances,
i.e. why they have the form of the generalized Pareto distributions. 查看全文>>