E-LIB Suche - Ergebnisse für: Mikosch, Thomas

1

Tail behavior of ACD models and consequences for likelihood..:

Cavaliere, Giuseppe ; Mikosch, Thomas ; Rahbek, Anders.
Journal of Econometrics. 238 (2024) 2 - p. 105613 , 2024

2

Large deviations of ℓp-blocks of regularly varying time ser..:

Buriticá, Gloria ; Mikosch, Thomas ; Wintenberger, Olivier
Stochastic Processes and their Applications. 161 (2023) - p. 68-101 , 2023

Link: https://doi.org/10.1016/..

3

Whittle estimation based on the extremal spectral density o..:

Damek, Ewa ; Mikosch, Thomas ; Zhao, Yuwei.
Stochastic Processes and their Applications. 155 (2023) - p. 232-267 , 2023

Link: https://doi.org/10.1016/..

4

Detecting changes in the mean and variance of a time series

an approach based on U-statistics of triangular arrays

Schmidt, Sara Kristin , 2022

Link: https://nbn-resolving.de..

5

Distance covariance for random fields:

Matsui, Muneya ; Mikosch, Thomas ; Roozegar, Rasool.
Stochastic Processes and their Applications. 150 (2022) - p. 280-322 , 2022

Link: https://doi.org/10.1016/..

6

Modern Extreme Value Theory at the Interface of Risk Manage..:

, In: Lecture Notes in Mathematics; Mathematics Going Forward,

Embrechts, Paul ; Klüppelberg, Claudia ; Mikosch, Thomas - p. 115-139 , 2022

Link: https://doi.org/10.1007/..

7

Large sample autocovariance matrices of linear processes wi..:

Heiny, Johannes ; Mikosch, Thomas
Stochastic Processes and their Applications. 141 (2021) - p. 344-375 , 2021

Link: https://doi.org/10.1016/..

8

GUMBEL AND FRÉCHET CONVERGENCE OF THE MAXIMA OF INDEPENDENT..:

MIKOSCH, THOMAS ; YSLAS, JORGE
Advances in Applied Probability. 52 (2020) 1 - p. 213-236 , 2020

Link: https://www.jstor.org/st..

9

Gumbel and Fréchet convergence of the maxima of independent..:

Mikosch, Thomas ; Yslas, Jorge
Advances in Applied Probability. 52 (2020) 1 - p. 213-236 , 2020

Link: https://doi.org/10.1017/..

10

HOMOGENEOUS MAPPINGS OF REGULARLY VARYING VECTORS:

Dyszewski, Piotr ; Mikosch, Thomas
The Annals of Applied Probability. 30 (2020) 6 - p. 2999-3026 , 2020

Link: https://www.jstor.org/st..

11

Heavy tails for an alternative stochastic perpetuity model:

Mikosch, Thomas ; Rezapour, Mohsen ; Wintenberger, Olivier
Stochastic Processes and their Applications. 129 (2019) 11 - p. 4638-4662 , 2019

Link: https://doi.org/10.1016/..

12

Editorial: The 20th Anniversary of the Extremes Journal:

Rootzén, Holger ; Hüsler, Jürg ; Mikosch, Thomas
Extremes. 21 (2018) 3 - p. 363-364 , 2018

Link: https://doi.org/10.1007/..

13

Applications of distance correlation to time series:

DAVIS, RICHARD A. ; MATSUI, MUNEYA ; MIKOSCH, THOMAS.
Bernoulli. 24 (2018) 4A - p. 3087-3116 , 2018

Link: https://www.jstor.org/st..

14

The eigenvalues of the sample covariance matrix of a multiv..:

JANSSEN, ANJA ; MIKOSCH, THOMAS ; REZAPOUR, MOHSEN.
Bernoulli. 24 (2018) 2 - p. 1351-1393 , 2018

Link: https://www.jstor.org/st..

15

Almost sure convergence of the largest and smallest eigenva..:

Heiny, Johannes ; Mikosch, Thomas
Stochastic Processes and their Applications. 128 (2018) 8 - p. 2779-2815 , 2018

Link: https://doi.org/10.1016/..