Author

B. V. Van Parys

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Preprint Sep 2026

Large and Moderate Deviations for Conservative Tail-Index Estimation

To design systems that are protected against events much rarer than the observational record, extreme-value methods are needed to extrapolate distribution tails. Tail-index estimators such as the Hill estimator are central to this extrapolation, but overestimating the tail exponent can lead to substantial underestimati...

Martijn Gösgens, B. V. Van Parys, Bert Zwart · 0 citations

Preprint Sep 2026

A stochastic subgradient method with optimal failure exponent

Fix a target accuracy $\varepsilon$, a gradient-noise level $s$, and a horizon $N$. We wish to design algorithms which minimize the probability of observing a suboptimality gap which exceeds the target accuracy, i.e., $\mathcal{E}_N = -\log \sup_{f,P} \mathbb{P}_P(f(x_A) - f_\star \ge \varepsilon)$, with the noise law...

B. V. Van Parys · 0 citations