Point processes, regular variation and weak convergence
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(only showing first 100 items - show all)- Securitization of motor insurance loss rate risks
- Extremal limit theorems for observations separated by random power law waiting times
- Regularly varying multivariate time series
- Convergence of point processes with weakly dependent points
- Joint stable attraction of two sums of products
- Extremes of moving averages of random variables from the domain of attraction of the double exponential distribution
- The weak convergence of step processes to a homogeneous Poisson process with independent increments
- Extremal point processes and intermediate quantile functions
- Multivariate subexponential distributions
- \(\alpha\)-stable limit theorems for sums of dependent random vectors
- Stationary self-similar extremal processes
- Second-order regular variation, convolution and the central limit theorem
- Tests for cointegration with infinite variance errors
- On the convergence of superpositions of point processes
- Limit theory for bilinear processes with heavy-tailed noise
- The two-parameter Poisson-Dirichlet distribution derived from a stable subordinator
- Extreme value theory for a class of nonstationary time series with applications
- Improved criteria for distributional convergence of point processes
- Inference for heavy tailed distributions
- Patterns of buffer overflow in a class of queues with long memory in the input stream
- Asymptotic inference in time series regressions with a unit root and infinite variance errors
- A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
- Point processes characterized by their one dimensional distributions
- Bootstrapping point processes with some applications
- The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks
- Asymptotic theory for M-estimates in unstable AR(\(p\)) processes with infinite variance innovations
- Polar decomposition of regularly varying time series in star-shaped metric spaces
- Joint functional convergence of partial sums and maxima for linear processes
- Ratios of ordered points of point processes with regularly varying intensity measures
- Regular variation of GARCH processes.
- Poisson limits for \(U\)-statistics.
- Limit theorems for mixed max-sum processes with renewal stopping
- Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- Time series with unit roots and infinite-variance disturbances
- Quantifying closeness of distributions of sums and maxima when tails are fat
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- Self-similar communication models and very heavy tails.
- The maximum of the periodogram for a heavy-tailed sequence.
- Exact convergence rate and leading term in central limit theorem for Student's \(t\) statistic.
- A note on asymptotic distribution of products of sums
- Weak limits for exploratory plots in the analysis of extremes
- Trimmed Lévy processes and their extremal components
- Inference for spatial autoregressive models with infinite variance noises
- Heavy tails for an alternative stochastic perpetuity model
- Infinite server queues in a random fast oscillatory environment
- Quantile inference for nonstationary processes with infinite variance innovations
- Asymptotic behavior of eigenvalues of variance-covariance matrix of a high-dimensional heavy-tailed Lévy process
- CQR-based inference for the infinite-variance nearly nonstationary autoregressive models
- The tail process and tail measure of continuous time regularly varying stochastic processes
- Whittle parameter estimation for vector ARMA models with heavy-tailed noises
- Stable Lévy motion with values in the Skorokhod space: construction and approximation
- Convergence to scale-invariant Poisson processes and applications in Dickman approximation
- Inference in heavy-tailed vector error correction models
- Stable limits for associated regularly varying sequences
- Generalised least squares estimation of regularly varying space-time processes based on flexible observation schemes
- Almost sure behavior of functionals of stationary Gibbs point processes
- Bias correction in multivariate extremes
- Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
- Degree distribution of shortest path trees and bias of network sampling algorithms
- Free point processes and free extreme values
- Modified unit root tests with nuisance parameter free asymptotic distributions
- Measures of serial extremal dependence and their estimation
- A Fourier analysis of extreme events
- On the properties of the coefficient of determination in regression models with infinite variance variables
- Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
- Copulas: Tales and facts (with discussion)
- Extreme value theory for space-time processes with heavy-tailed distributions
- Extremes of a class of deterministic sub-sampled processes with applications to stochastic difference equations
- Characterizations and examples of hidden regular variation
- Activity rates with very heavy tails
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Functional large deviations for multivariate regularly varying random walks
- Gaussian limit fields for the integrated periodogram
- Asymptotic behavior of the generalized St. Petersburg sum conditioned on its maximum
- Convergence of partial sum processes to stable processes with application for aggregation of branching processes
- Targeting estimation of CCC-GARCH models with infinite fourth moments
- First passage percolation on the Newman-Watts small world model
- Detection and estimation of structural change in heavy-tailed sequence
- M-estimation for a spatial unilateral autoregressive model with infinite variance innovations
- Relationship between extremal and sum processes generated by the same point process
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
- The Extremal Dependence Measure and Asymptotic Independence
- Unit root tests and dramatic shifts with infinite variance processes
- Limit theory for high frequency sampled MCARMA models
- Regular variation of infinite series of processes with random coefficients
- scientific article; zbMATH DE number 3885046 (Why is no real title available?)
- A large deviations approach to limit theory for heavy-tailed time series
- Multivariate subexponential distributions and random sums of random vectors
- Models with hidden regular variation: generation and detection
- scientific article; zbMATH DE number 4140908 (Why is no real title available?)
- Domains of attraction of the random vector (X, X 2) and applications
- WEAK CONVERGENCE TO LÉVY STABLE PROCESSES IN DYNAMICAL SYSTEMS
- MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS
- Some notes on poisson limits for empirical point processes
- On the weak convergence of stochastic processes with embedded point processes
- scientific article; zbMATH DE number 4052705 (Why is no real title available?)
- Monitoring persistent change in a heavy-tailed sequence with polynomial trends
- scientific article; zbMATH DE number 58017 (Why is no real title available?)
- Relative stability in strictly stationary random sequences
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