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math.PR2025
Asymptotic analysis of rare events in high dimensions
Anya Katsevich, Alexander Katsevich
Understanding rare events is critical across domains ranging from signal processing to reliability and structural safety, extreme-weather forecasting, and insurance. The analysis o…
math.PR2025
Saddle Point Approximation and Central Limit Theorem for Densities in High Dimensions
Alexander Katsevich
We study the saddlepoint approximation (SPA) for densities of sums of high-dimensional random vectors, allowing the dimension to grow with the sample size . For averages of…