| Publication | Date of Publication | Type |
|---|
Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
STATISTICA SINICA | 2023-11-23 | Paper |
| Asymptotic expansions for blocks estimators: PoT framework | 2023-09-06 | Paper |
| Limit theorems for unbounded cluster functionals of regularly varying time series | 2023-08-30 | Paper |
Integral functionals and the bootstrap for the tail empirical process
Extremes | 2023-03-02 | Paper |
Correction to: ``Integral functionals and the bootstrap for the tail empirical process
Extremes | 2023-03-02 | Paper |
Principal component analysis of infinite variance functional data
Journal of Multivariate Analysis | 2022-12-06 | Paper |
Estimation of cluster functionals for regularly varying time series: runs estimators
Electronic Journal of Statistics | 2022-07-15 | Paper |
Estimation of cluster functionals for regularly varying time series: runs estimators
Electronic Journal of Statistics | 2022-07-15 | Paper |
COMPARISON OF ESTIMATION METHODS FOR VALUE-AT-RISK
Universal Journal of Mathematics and Mathematical Sciences | 2022-05-12 | Paper |
Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process
Methodology and Computing in Applied Probability | 2022-01-07 | Paper |
Long range dependence of heavy-tailed random functions
Journal of Applied Probability | 2021-09-24 | Paper |
Estimation of cluster functionals for regularly varying time series: runs estimators
(available as arXiv preprint) | 2021-09-05 | Paper |
Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
Electronic Journal of Statistics | 2021-08-09 | Paper |
Bootstrapping Hill estimator and tail array sums for regularly varying time series
Bernoulli | 2021-07-09 | Paper |
Heavy tailed time series
Springer Series in Operations Research and Financial Engineering | 2020-05-18 | Paper |
Goodness-of-fit tests for Lévy-driven Ornstein-Uhlenbeck processes
The Canadian Journal of Statistics | 2020-04-24 | Paper |
Statistical inference for heavy tailed series with extremal independence
Extremes | 2020-02-28 | Paper |
The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
Stochastic Processes and their Applications | 2019-11-27 | Paper |
Testing for change in long-memory stochastic volatility time series
Journal of Time Series Analysis | 2019-10-18 | Paper |
The tail empirical process for long memory stochastic volatility models with leverage
Electronic Journal of Statistics | 2019-10-04 | Paper |
Estimation of the expected shortfall given an extreme component under conditional extreme value model
Extremes | 2019-05-31 | Paper |
| The accessibility of convex bodies and derandomization of the hit and run algorithm | 2018-02-23 | Paper |
The accessibility of convex bodies and derandomization of the hit and run algorithm
(available as arXiv preprint) | 2018-02-23 | Paper |
Strong approximations for long memory sequences based partial sums, counting and their Vervaat processes
Periodica Mathematica Hungarica | 2017-11-10 | Paper |
Strong approximations for long memory sequences based partial sums, counting and their Vervaat processes
Periodica Mathematica Hungarica | 2017-11-10 | Paper |
Statistical inference for curved fibrous objects in 3D -- based on multiple short observations of multivariate autoregressive processes
Australian & New Zealand Journal of Statistics | 2016-02-23 | Paper |
Heavy tailed time series with extremal independence
Extremes | 2015-07-07 | Paper |
Multichannel deconvolution with long range dependence: upper bounds on the \(L^p\)-risk \((1 \leq p < \infty)\)
Applied and Computational Harmonic Analysis | 2015-05-04 | Paper |
Conditional variance estimation in regression models with long memory
Journal of Time Series Analysis | 2014-11-26 | Paper |
Model verification for Lévy-driven Ornstein-Uhlenbeck processes
Electronic Journal of Statistics | 2014-09-05 | Paper |
Empirical process of residuals for regression models with long memory errors
Statistics & Probability Letters | 2014-06-05 | Paper |
Multichannel deconvolution with long-range dependence: a minimax study
Journal of Statistical Planning and Inference | 2014-03-13 | Paper |
Heavy-tailed branching process with immigration
Stochastic Models | 2014-01-30 | Paper |
Tail behaviour of the area under a random process, with applications to queueing systems, insurance and percolations
Queueing Systems | 2013-11-25 | Paper |
Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
Extremes | 2013-06-25 | Paper |
Nonparametric conditional variance and error density estimation in regression models with dependent errors and predictors
Electronic Journal of Statistics | 2013-05-28 | Paper |
Kink estimation in stochastic regression with dependent errors and predictors
Electronic Journal of Statistics | 2013-05-27 | Paper |
Kink estimation in stochastic regression with dependent errors and predictors
Electronic Journal of Statistics | 2013-05-27 | Paper |
Nonparametric deconvolution problem for dependent sequences
Electronic Journal of Statistics | 2013-05-24 | Paper |
Nonparametric deconvolution problem for dependent sequences
Electronic Journal of Statistics | 2013-05-24 | Paper |
Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
Advances in Applied Probability | 2013-02-28 | Paper |
Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
Advances in Applied Probability | 2013-02-28 | Paper |
| Long-memory processes. Probabilistic properties and statistical methods | 2013-02-13 | Paper |
Weak invariance principle for mixing sequences in the domain of attraction of normal law
Studia Scientiarum Mathematicarum Hungarica | 2011-07-22 | Paper |
| On Vervaat processes for sums and renewals in weakly dependent cases | 2011-03-09 | Paper |
The tail empirical process for long memory stochastic volatility sequences
Stochastic Processes and their Applications | 2011-01-14 | Paper |
Some results on random design regression with long memory errors and predictors
Journal of Statistical Planning and Inference | 2010-10-22 | Paper |
Wavelet regression in random design with heteroscedastic dependent errors
The Annals of Statistics | 2009-12-09 | Paper |
Sums of extreme values of subordinated long-range dependent sequences: moving averages with finite variance
Electronic Journal of Probability | 2009-11-20 | Paper |
Sums of extreme values of subordinated long-range dependent sequences: moving averages with finite variance
Electronic Journal of Probability | 2009-11-20 | Paper |
Sums of extreme values of subordinated long-range dependent sequences: moving averages with finite variance
Electronic Journal of Probability | 2009-11-20 | Paper |
Some notes on poisson limits for empirical point processes
The Canadian Journal of Statistics | 2009-11-18 | Paper |
| scientific article; zbMATH DE number 5629269 (Why is no real title available?) | 2009-11-11 | Paper |
Dependence in Lag for Markov Chains on Partially Ordered State Spaces with Applications to Degradable Networks
Stochastic Models | 2008-12-17 | Paper |
Empirical process of long-range dependent sequences when parameters are estimated
Journal of Statistical Planning and Inference | 2008-12-08 | Paper |
Trimmed sums of long range dependent moving averages
Statistics & Probability Letters | 2008-10-30 | Paper |
Reduction principles for quantile and Bahadur-Kiefer processes of long-range dependent linear sequences
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2008-09-23 | Paper |
Weak convergence of Vervaat and Vervaat error processes of long-range dependent sequences
Journal of Theoretical Probability | 2008-08-21 | Paper |
Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes
Bernoulli | 2008-02-06 | Paper |
Bahadur-Kiefer theory for sample quantiles of weakly dependent linear processes
Bernoulli | 2008-02-06 | Paper |
Limit theorems for self-normalized linear processes
Statistics & Probability Letters | 2007-02-14 | Paper |
DEPENDENCE ORDERING FOR QUEUING NETWORKS WITH BREAKDOWN AND REPAIR
Probability in the Engineering and Informational Sciences | 2007-02-13 | Paper |
\(M/M/1\) queueing systems with inventory
Queueing Systems | 2006-11-17 | Paper |
Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise
Journal of Applied Probability | 2006-09-25 | Paper |
| Poisson limits for empirical point processes | 2006-05-15 | Paper |
| Optimal rates in the Bahadur-Kiefer representation for GARCH sequences | 2006-05-10 | Paper |
Tail behaviour of the area under the queue length process of the single server queue with regularly varying service times
Queueing Systems | 2005-11-07 | Paper |
Dependence orderings for some functionals of multivariate point processes
Journal of Multivariate Analysis | 2005-08-05 | Paper |
MONOTONICITY IN LAG FOR NONMONOTONE MARKOV CHAINS
Probability in the Engineering and Informational Sciences | 2005-05-09 | Paper |
Stochastic comparison of multivariate random sums
Applicationes Mathematicae | 2004-11-29 | Paper |
Sufficient conditions for long-range count dependence of stationary point processes on the real line
Journal of Applied Probability | 2002-02-10 | Paper |
