| Publication | Date of Publication | Type |
|---|
A Pólya lattice model to study leverage dynamics and contagious financial fragility
Advances in Complex Systems | 2025-04-25 | Paper |
On the maximum of a bivariate INMA model with integer innovations
Methodology and Computing in Applied Probability | 2023-02-17 | Paper |
Extreme value analysis in biometrics
Biometrical Journal | 2020-09-25 | Paper |
Shock models for defaults: parametric and nonparametric approaches
Nonparametric Statistics and Mixture Models | 2019-06-03 | Paper |
Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
Extremes | 2018-04-16 | Paper |
On shape of high massive excursions of trajectories of Gaussian homogeneous fields
Extremes | 2018-01-26 | Paper |
On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
Extremes | 2017-07-25 | Paper |
On the shape of trajectories of Gaussian processes having large massive excursions. II
Theory of Probability and its Applications | 2016-09-23 | Paper |
Extreme value index estimator using maximum likelihood and moment estimation
Communications in Statistics: Theory and Methods | 2016-07-15 | Paper |
On the shape of trajectories of Gaussian processes having large massive excursions
Theory of Probability & Its Applications | 2015-04-28 | Paper |
Alarm systems and catastrophes from a diverse point of view
Methodology and Computing in Applied Probability | 2015-01-28 | Paper |
Weak convergence of the empirical mean excess process with application to estimate the negative tail index
Methodology and Computing in Applied Probability | 2014-08-15 | Paper |
Limit laws for maxima of a stationary random sequence with random sample size
Test | 2013-04-05 | Paper |
AN URN MODEL FOR CASCADING FAILURES ON A LATTICE
Probability in the Engineering and Informational Sciences | 2013-01-15 | Paper |
GENERALIZED EXTREME SHOCK MODELS WITH A POSSIBLY INCREASING THRESHOLD
Probability in the Engineering and Informational Sciences | 2011-11-22 | Paper |
Extremes of Gaussian processes with a smooth random variance
Stochastic Processes and their Applications | 2011-10-11 | Paper |
Extremes of Gaussian processes with random variance
Electronic Journal of Probability | 2011-09-09 | Paper |
On clusters of high extremes of Gaussian stationary processes with \(\epsilon \)-separation
Electronic Journal of Probability | 2011-09-09 | Paper |
Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit
Communications in Statistics: Theory and Methods | 2011-07-20 | Paper |
| Near-extremes and related point processes | 2011-02-02 | Paper |
A nonparametric urn-based approach to interacting failing systems with an application to credit risk modeling
International Journal of Theoretical and Applied Finance | 2011-01-20 | Paper |
Extreme shock models: an alternative perspective
Statistics & Probability Letters | 2011-01-14 | Paper |
On applications of extreme value theory in optimization
Experimental Methods for the Analysis of Optimization Algorithms | 2010-12-22 | Paper |
| Laws of small numbers: extremes and rare events. | 2010-10-14 | Paper |
An urn approach to generalized extreme shock models
Statistics & Probability Letters | 2009-04-15 | Paper |
Testing asymptotic independence in bivariate extremes
Journal of Statistical Planning and Inference | 2009-03-20 | Paper |
Review of testing issues in extremes: in honor of Professor Laurens de Haan
Extremes | 2009-02-28 | Paper |
A limit theorem for the time of ruin in a Gaussian ruin problem
Stochastic Processes and their Applications | 2008-11-14 | Paper |
On first and last ruin times of Gaussian processes
Statistics & Probability Letters | 2008-08-08 | Paper |
Extremes of Stationary Sequences with Failures
Stochastic Models | 2008-03-06 | Paper |
| The number and sum of near \(m\)-extremes | 2008-03-06 | Paper |
An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
Communications in Statistics: Theory and Methods | 2008-01-23 | Paper |
On testing extreme value conditions
Extremes | 2007-12-16 | Paper |
Tail approximations to the density function in EVT
Extremes | 2007-12-16 | Paper |
Extreme values of portfolio of Gaussian processes and a trend
Extremes | 2007-05-29 | Paper |
| The neighbourhood of bivariate maxima | 2007-05-07 | Paper |
Weighted least squares estimation of the extreme value index
Statistics & Probability Letters | 2006-06-16 | Paper |
Dependence between extreme values of discrete and continuous time locally stationary Gaussian processes
Extremes | 2006-05-24 | Paper |
Condition for convergence of maxima of random triangular arrays
Extremes | 2006-05-24 | Paper |
Analysis of a change-point regression problem in quality control by partial sums processes and Kolmogorov type tests
Metrika | 2006-02-08 | Paper |
Iterative estimation of the extreme value index
Methodology and Computing in Applied Probability | 2006-01-30 | Paper |
Multiple maxima in multivariate samples
Statistics & Probability Letters | 2005-12-05 | Paper |
Realistic variation of shock models
Statistics & Probability Letters | 2005-09-28 | Paper |
| scientific article; zbMATH DE number 2206046 (Why is no real title available?) | 2005-09-16 | Paper |
Limit theorem for maximum of the storage process with fractional Brownian motion as input
Stochastic Processes and their Applications | 2005-08-05 | Paper |
On the ruin probability for physical fractional Brownian motion
Stochastic Processes and their Applications | 2005-08-05 | Paper |
Estimation of Tails and Related Quantities Using the Number of Near-Extremes
Communications in Statistics: Theory and Methods | 2005-05-23 | Paper |
| scientific article; zbMATH DE number 2118489 (Why is no real title available?) | 2004-11-24 | Paper |
On multivariate Gaussian tails
Annals of the Institute of Statistical Mathematics | 2004-10-05 | Paper |
Exact asymptotics for boundary crossings of the Brownian bridge with trend with application to the Kolmogorov test
Annals of the Institute of Statistical Mathematics | 2004-09-27 | Paper |
Testing extreme value conditions
Extremes | 2004-03-16 | Paper |
On the power of the Kolmogorov test to detect the trend of a Brownian bridge with applications to a change-point problem in regression models.
Statistics & Probability Letters | 2004-02-14 | Paper |
On the number of points near the multivariate maxima
Statistics & Probability Letters | 2004-01-15 | Paper |
Asymptotics of a boundary crossing probability of a Brownian bridge with general trend
Methodology and Computing in Applied Probability | 2004-01-14 | Paper |
On optimization and extreme value theory
Methodology and Computing in Applied Probability | 2003-08-25 | Paper |
Multivariate nonparametric tests in a randomized complete block design
Journal of Multivariate Analysis | 2003-06-09 | Paper |
On asymptotics of multivariate integrals with applications to records
Stochastic Models | 2002-11-25 | Paper |
A formula for the tail probability of a multivariate normal distribution and its applications
Journal of Multivariate Analysis | 2002-09-30 | Paper |
Remarks on compound Poisson approximation of Gaussian random sequences
Statistics & Probability Letters | 2002-09-05 | Paper |
Extremes of a certain class of Gaussian processes
Stochastic Processes and their Applications | 2002-08-29 | Paper |
The smallest parallelepiped of \(n\) random points and peeling
Methodology and Computing in Applied Probability | 2001-12-10 | Paper |
| On the number of near-maxima | 2001-10-18 | Paper |
Extremes of Gaussian processes with maximal variance near the boundary points
Methodology and Computing in Applied Probability | 2001-09-23 | Paper |
Extreme shock models
Extremes | 2001-03-01 | Paper |
Extremes of Gaussian process and the constant H_
Extremes | 2000-05-24 | Paper |
Extremes of Gaussian processes, on results of Piterbarg and Seleznjev
Statistics & Probability Letters | 2000-04-09 | Paper |
Extreme values in FGM random sequences
Journal of Multivariate Analysis | 1999-09-21 | Paper |
On the extremal index for the M/M/s queue
Communications in Statistics. Stochastic Models | 1999-09-15 | Paper |
Maxima of Poisson-like variables and related triangular arrays
The Annals of Applied Probability | 1998-09-30 | Paper |
| scientific article; zbMATH DE number 1066300 (Why is no real title available?) | 1998-05-04 | Paper |
| scientific article; zbMATH DE number 1098750 (Why is no real title available?) | 1998-04-19 | Paper |
On the convergence of the number of exceedances of nonstationary normal sequences
Journal of Research of the National Institute of Standards and Technology | 1998-03-01 | Paper |
Multivariate option price models and extremes
Communications in Statistics: Theory and Methods | 1997-11-11 | Paper |
A note on maxima of bivariate random vectors
Statistics & Probability Letters | 1997-07-06 | Paper |
Minimum distance estimators in extreme value distributions
Communications in Statistics: Theory and Methods | 1997-05-19 | Paper |
| scientific article; zbMATH DE number 922402 (Why is no real title available?) | 1997-05-12 | Paper |
The extremes of a triangular array of normal random variables
The Annals of Applied Probability | 1997-01-14 | Paper |
| scientific article; zbMATH DE number 922403 (Why is no real title available?) | 1996-11-07 | Paper |
| scientific article; zbMATH DE number 922404 (Why is no real title available?) | 1996-11-07 | Paper |
| scientific article; zbMATH DE number 922405 (Why is no real title available?) | 1996-11-07 | Paper |
| scientific article; zbMATH DE number 934597 (Why is no real title available?) | 1996-10-13 | Paper |
A note on a model for restoring a destroyed region
Journal of Applied Probability | 1996-03-12 | Paper |
A note on extreme values of locally stationary Gaussian processes
Journal of Statistical Planning and Inference | 1996-01-15 | Paper |
Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences
Stochastic Processes and their Applications | 1995-08-21 | Paper |
Extremes and clustering of nonstationary max-AR(1) sequences
Stochastic Processes and their Applications | 1995-05-23 | Paper |
| scientific article; zbMATH DE number 729453 (Why is no real title available?) | 1995-03-02 | Paper |
Maxima of bivariate random vectors: Between independence and complete dependence
Statistics & Probability Letters | 1995-01-09 | Paper |
Minimum distance estimators
Journal of Statistical Planning and Inference | 1994-12-18 | Paper |
| scientific article; zbMATH DE number 653189 (Why is no real title available?) | 1994-10-12 | Paper |
A note on exceedances and rare events of non-stationary sequences
Journal of Applied Probability | 1994-05-19 | Paper |
| scientific article; zbMATH DE number 218895 (Why is no real title available?) | 1993-06-29 | Paper |
On the first zero of an empirical characteristic function
Journal of Applied Probability | 1992-06-26 | Paper |
On estimating the rate of return
Insurance Mathematics & Economics | 1992-06-25 | Paper |
On the convex hull of <i>n</i> random points on a circle
Journal of Applied Probability | 1991-01-01 | Paper |
Extreme values and high boundary crossings of locally stationary Gaussian processes
The Annals of Probability | 1990-01-01 | Paper |
The first zero of an empirical characteristic function
Stochastic Processes and their Applications | 1990-01-01 | Paper |
Multivariate extreme values in stationary random sequences
Stochastic Processes and their Applications | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4211196 (Why is no real title available?) | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4143234 (Why is no real title available?) | 1989-01-01 | Paper |
Maxima of normal random vectors: Between independence and complete dependence
Statistics & Probability Letters | 1989-01-01 | Paper |
A note on the independence and total dependence of max i.d. distributions
Advances in Applied Probability | 1989-01-01 | Paper |
Limit properties for multivariate extreme values in sequences of independent, non-identically distributed random vectors
Stochastic Processes and their Applications | 1989-01-01 | Paper |
On the exceedance point process for a stationary sequence
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1988-01-01 | Paper |
Limit results for maxima in non-stationary multivariate Gaussian sequences
Stochastic Processes and their Applications | 1988-01-01 | Paper |
On the asymptotic behaviour of selector statistics
Communications in Statistics: Theory and Methods | 1988-01-01 | Paper |
Maximal, non-uniform spacings and the coverage problem
Journal of Applied Probability | 1988-01-01 | Paper |
Nonparametric Location Tests Based on the Empirical Distribution
Biometrical Journal | 1988-01-01 | Paper |
Minimal spacings of non-uniform densities
Stochastic Processes and their Applications | 1987-01-01 | Paper |
Test Based on Independent, but Non-identically Distributed Random Variables
Biometrical Journal | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3975986 (Why is no real title available?) | 1986-01-01 | Paper |
On point processes on the circle
Journal of Applied Probability | 1986-01-01 | Paper |
Extreme values of non-stationary random sequences
Journal of Applied Probability | 1986-01-01 | Paper |
On simple block estimators for the parameters of the extreme-value distribution
Communications in Statistics. Simulation and Computation | 1986-01-01 | Paper |
The growth rate of partial maxima on subsequences
Statistics & Probability Letters | 1985-01-01 | Paper |
Sequential urn schemes and birth processes
Advances in Applied Probability | 1985-01-01 | Paper |
| scientific article; zbMATH DE number 3874304 (Why is no real title available?) | 1984-01-01 | Paper |
On the random coverage of the circle
Journal of Applied Probability | 1984-01-01 | Paper |
| scientific article; zbMATH DE number 3831152 (Why is no real title available?) | 1983-01-01 | Paper |
Asymptotic approximation of crossing probabilities of random sequences
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1983-01-01 | Paper |
Random coverage of the circle and asymptotic distributions
Journal of Applied Probability | 1982-01-01 | Paper |
A note on the functional law of iterated logarithm for maxima of Gaussian sequences
Journal of Multivariate Analysis | 1981-01-01 | Paper |
The law of the iterated logarithm for the last exit time of independent random sequences
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1981-01-01 | Paper |
Limit distribution of the last exit time for stationary random sequences
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1980-01-01 | Paper |
Almost sure limiting behaviour of first crossing points of Gaussian sequences
Stochastic Processes and their Applications | 1979-01-01 | Paper |
The limiting behaviour of the last exit time for sequences of independent, identically distributed random variables
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1979-01-01 | Paper |
Convergence rates in the law of large numbers for random variables on partially ordered sets
Monatshefte für Mathematik | 1978-01-01 | Paper |
On limit distributions of first crossing points of Gaussian sequences
Stochastic Processes and their Applications | 1977-01-01 | Paper |
A remark on the strong law of large numbers
Monatshefte für Mathematik | 1977-01-01 | Paper |
