Operations Research and Information Engineering is the science of rational decision making and the study, design and integration of complex situations and systems with the goal of predicting system behavior and improving or optimizing system performance. It encompasses managerial decision making, mathematical and computer modeling and the use of information technology for informed decision-making.

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  • Handling missing extremes in tail estimation 

    Xu, Hui; Davis, Richard; Samorodnitsky, Gennady (2020)
    In some data sets, it may be the case that a portion of the extreme observations are missing. This might arise in cases where the extreme observations are just not available or are imprecisely measured. For example, ...
  • Extremal clustering under moderate long range dependence and moderately heavy tails 

    Chen, Zaoli; Samorodnitsky, Gennady (2020)
    We study clustering of the extremes in a stationary sequence with subexponential tails in the maximum domain of attraction of the Gumbel We obtain functional limit theorems in the space of random sup- measures and in the ...
  • High minima of non-smooth Gaussian processes 

    Wu, Zhixin; Chakrabarty, Arijit; Samorodnitsky, Gennady (2019-02-27)
    In this short note we study the asymptotic behaviour of the minima over compact intervals of Gaussian processes, whose paths are not necessarily smooth. We show that, beyond the logarithmic large deviation Gaussian ...
  • Extreme Value Theory for Long Range Dependent Stable Random Fields 

    Chen, Zaoli; Samorodnitsky, Gennady (2018-10-15)
    We study the extremes for a class of a symmetric stable random fields with long range dependence. We prove functional extremal theorems both in the space of sup measures and in the space of cadlag functions of ...
  • Modelling and Inference for Extremal Events 

    Sun, Julian (2018-08-11)
    Extreme events are frequently observed in nature and in human activities; they tend to have severe and often negative impact. For this reason they are wellstudied, and the underlying body of work is usually referred to ...
  • Regularly Varying Random Fields 

    Wu, Lifan; Samorodnitsky, Gennady (2018-09-05)
    We study the extremes of multivariate regularly varying random fields. The crucial tools in our study are the tail field and the spectral field, notions that extend the tail and spectral processes of Basrak and Segers ...
  • Distance covariance for discretized stochastic processes 

    Dehling, Harold; Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh (2018-06-26)
    Given an iid sequence of pairs of stochastic processes on the unit interval we construct a measure of independence for the components of the pairs. We define distance covariance and distance correlation based on ...
  • From infinite urn schemes to self-similar stable processes 

    Durieu, Olivier; Samorodnitsky, Gennady; Wang, Yizao (2017)
    We investigate the randomized Karlin model with parameter beta in (0,1), which is based on an infinite urn scheme. It has been shown before that when the randomization is bounded, the so-called odd-occupancy process scales ...
  • Extreme value analysis without the largest values: what can be done? 

    Zou, Jingjing; Davis, Richard; Samorodnitsky, Gennady (2017)
    In this paper we are concerned with the analysis of heavy-tailed data when a portion of the extreme values are unavailable. This research was motivated by an analysis of the degree distributions in a large social network. ...
  • Extremal theory for long range dependent infinitely divisible processes 

    Samorodnitskty, Gennady; Wang, Yizao (2017-03)
    We prove limit theorems of an entirely new type for certain long memory regularly varying stationary \id\ random processes. These theorems involve multiple phase transitions governed by how long the memory is. Apart ...

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