| Publication | Date of Publication | Type |
|---|
Regularity of a randomly stopped sum determines regularity of the stopping moment
Lithuanian Mathematical Journal | 2025-09-09 | Paper |
A note on randomly stopped sums with zero mean increments
Modern Stochastics. Theory and Applications | 2024-04-30 | Paper |
On the distribution-tail behaviour of the product of normal random variables
Journal of Inequalities and Applications | 2023-11-30 | Paper |
Aggregation of network traffic and anisotropic scaling of random fields
Theory of Probability and Mathematical Statistics | 2023-05-17 | Paper |
On the non-closure under convolution for strong subexponential distributions
Nonlinear Analysis: Modelling and Control | 2023-01-11 | Paper |
A note on product-convolution for generalized subexponential distributions
Nonlinear Analysis: Modelling and Control | 2022-11-09 | Paper |
| Asymptotic normality in linear regression with approximately sparse structure | 2022-03-08 | Paper |
Group testing: revisiting the ideas
Nonlinear Analysis: Modelling and Control | 2021-06-10 | Paper |
Aggregation and long memory: recent developments
(available as arXiv preprint) | 2021-06-02 | Paper |
Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure
Statistics & Probability Letters | 2021-03-18 | Paper |
The Lithuanian Mathematical Society and mathematical life in the country
European Mathematical Society Newsletter | 2021-02-23 | Paper |
Estimating long memory in panel random-coefficient AR(1) data
Journal of Time Series Analysis | 2020-09-16 | Paper |
On a closure property of convolution equivalent class of distributions
Journal of Mathematical Analysis and Applications | 2020-06-17 | Paper |
An integer-valued autoregressive process for seasonality
Journal of Statistical Computation and Simulation | 2020-04-28 | Paper |
Tails of higher-order moments with dominatedly varying summands
Lithuanian Mathematical Journal | 2019-12-03 | Paper |
Sample covariances of random-coefficient AR(1) panel model
Electronic Journal of Statistics | 2019-11-26 | Paper |
Sample covariances of random-coefficient AR(1) panel model
Electronic Journal of Statistics | 2019-11-26 | Paper |
A copula-based bivariate integer-valued autoregressive process with application
Modern Stochastics. Theory and Applications | 2019-10-08 | Paper |
A note on the tail behavior of randomly weighted and stopped dependent sums
Nonlinear Analysis: Modelling and Control | 2019-07-12 | Paper |
Bounds for the Clayton copula
Nonlinear Analysis: Modelling and Control | 2019-07-12 | Paper |
| Closure property and tail probability asymptotics for randomly weighted sums of dependent random variables with heavy tails | 2018-10-18 | Paper |
On the random max-closure for heavy-tailed random variables
Lithuanian Mathematical Journal | 2017-08-31 | Paper |
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
Journal of Multivariate Analysis | 2016-12-15 | Paper |
Weak max-sum equivalence for dependent heavy-tailed random variables
Lithuanian Mathematical Journal | 2016-05-12 | Paper |
Asymptotics for randomly weighted and stopped dependent sums
Stochastics | 2016-05-04 | Paper |
Renewal regime switching and stable limit laws
Journal of Econometrics | 2016-04-01 | Paper |
Corrigendum to: ``Rescaled variance and related tests for long memory in volatility and levels''
Journal of Econometrics | 2016-03-30 | Paper |
Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model
Lithuanian Mathematical Journal | 2015-11-06 | Paper |
In memoriam Bronius Grigelionis (1935.11.01--2014.05.23)
Lithuanian Mathematical Journal | 2015-02-25 | Paper |
DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
Econometric Theory | 2014-06-20 | Paper |
Closure property and maximum of randomly weighted sums with heavy-tailed increments
Statistics & Probability Letters | 2014-06-12 | Paper |
| scientific article; zbMATH DE number 6288723 (Why is no real title available?) | 2014-04-25 | Paper |
Stability of random coefficient ARCH models and aggregation schemes
Journal of Econometrics | 2014-03-07 | Paper |
Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails
Lithuanian Mathematical Journal | 2014-01-15 | Paper |
Asymptotics of partial sums of linear processes with changing memory parameter
Lithuanian Mathematical Journal | 2013-08-08 | Paper |
Precise large deviations for compound random sums in the presence of dependence structures
Computers & Mathematics with Applications | 2013-07-25 | Paper |
Closure of some heavy-tailed distribution classes under random convolution
Lithuanian Mathematical Journal | 2013-03-21 | Paper |
Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
Statistics & Probability Letters | 2012-09-18 | Paper |
On the ruin probability in a dependent discrete time risk model with insurance and financial risks
Journal of Computational and Applied Mathematics | 2012-05-14 | Paper |
Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
Lithuanian Mathematical Journal | 2011-12-01 | Paper |
Uniform estimates for the finite-time ruin probability in the dependent renewal risk model
Journal of Mathematical Analysis and Applications | 2011-07-18 | Paper |
Tail behavior of sums and maxima of sums of dependent subexponential random variables
Acta Applicandae Mathematicae | 2011-05-25 | Paper |
Asymptotic behaviour of the finite-time ruin probability in renewal risk models
Applied Stochastic Models in Business and Industry | 2011-02-22 | Paper |
Effect of aggregation on estimators in AR(1) sequence
Test | 2011-01-22 | Paper |
Local precise large deviations for sums of random variables with O-regularly varying densities
Statistics & Probability Letters | 2010-09-01 | Paper |
Asymptotic normality of the mixture density estimator in a disaggregation scheme
Journal of Nonparametric Statistics | 2010-06-18 | Paper |
Aggregation of the random coefficient GLARCH(1,1) process
Econometric Theory | 2010-04-23 | Paper |
Second-order asymptotics of ruin probabilities for semiexponential claims
Lithuanian Mathematical Journal | 2010-02-19 | Paper |
| Recent advances in ARCH modelling | 2010-02-05 | Paper |
A property of the renewal counting process with application to the finite-time ruin probability
Lithuanian Mathematical Journal | 2009-12-02 | Paper |
ARCH(∞) Models and Long Memory Properties
Handbook of Financial Time Series | 2009-11-27 | Paper |
Asymptotics for tail probability of total claim amount with negatively dependent claim sizes and its applications
Lithuanian Mathematical Journal | 2009-11-06 | Paper |
| scientific article; zbMATH DE number 5521796 (Why is no real title available?) | 2009-03-02 | Paper |
Tail behaviour of random sums under consistent variation with applications to the compound renewal risk model
Extremes | 2009-02-28 | Paper |
Precise large deviation results for the total claim amount under subexponential claim sizes
Statistics & Probability Letters | 2008-08-08 | Paper |
On Long-Range Dependence in Regenerative Processes Based on a General ON/OFF Scheme
Journal of Applied Probability | 2008-02-22 | Paper |
Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
Insurance Mathematics & Economics | 2007-05-23 | Paper |
A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
Econometric Theory | 2007-04-23 | Paper |
| Time series aggregation, disaggregation and long memory | 2007-02-27 | Paper |
Continuous-time approximation of short-term interest rates in generalized Ho-Lee framework
Lithuanian Mathematical Journal | 2006-11-28 | Paper |
On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
Journal of Applied Probability | 2006-11-16 | Paper |
Orthogonal series density estimation in a disaggregation scheme
Journal of Statistical Planning and Inference | 2006-06-30 | Paper |
A mathematical model for the bond market.
Lithuanian Mathematical Journal | 2005-08-09 | Paper |
Random coefficient autoregression, regime switching and long memory
Advances in Applied Probability | 2004-06-10 | Paper |
Long memory and stochastic trend.
Statistics & Probability Letters | 2004-03-14 | Paper |
| scientific article; zbMATH DE number 1944317 (Why is no real title available?) | 2004-03-02 | Paper |
On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives
Acta Applicandae Mathematicae | 2003-12-09 | Paper |
A new theorem on the existence of invariant distributions with applications to ARCH processes
Journal of Applied Probability | 2003-12-07 | Paper |
Aggregation in ARCH models
Lithuanian Mathematical Journal | 2003-05-19 | Paper |
ON STATIONARITY IN THE ARCH(∞) MODEL
Econometric Theory | 2003-05-18 | Paper |
Rescaled variance and related tests for long memory in volatility and levels
Journal of Econometrics | 2003-04-09 | Paper |
| A squared binomial tree approach to discrete-time bond market modelling | 2002-11-24 | Paper |
Change-point estimation in ARCH models
Bernoulli | 2002-11-14 | Paper |
Testing for long memory in the presence of a general trend
Journal of Applied Probability | 2002-06-26 | Paper |
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
Econometric Theory | 2002-05-23 | Paper |
Testing for parameter changes in ARCH models
Lithuanian Mathematical Journal | 2001-11-19 | Paper |
Modelling long-memory time series with finite or infinite variance: a general approach
Journal of Time Series Analysis | 2001-09-23 | Paper |
| scientific article; zbMATH DE number 1538079 (Why is no real title available?) | 2001-05-11 | Paper |
Security price modelling by a binomial tree
Applicationes Mathematicae | 2001-01-07 | Paper |
Change-point in the mean of dependent observations
Statistics & Probability Letters | 2000-05-08 | Paper |
Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity.
Statistical Inference for Stochastic Processes | 2000-01-01 | Paper |
The change-point problem for dependent observations
Journal of Statistical Planning and Inference | 1996-11-12 | Paper |
| scientific article; zbMATH DE number 868175 (Why is no real title available?) | 1996-08-04 | Paper |
A generalized fractionally differencing approach in long-memory modeling
Lithuanian Mathematical Journal | 1996-02-25 | Paper |
Testing and estimating in the change-point problem of the spectral function
Lithuanian Mathematical Journal | 1994-07-19 | Paper |
Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
Lithuanian Mathematical Journal | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 13332 (Why is no real title available?) | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 5831 (Why is no real title available?) | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4102304 (Why is no real title available?) | 1988-01-01 | Paper |
Weak convergence of two-parameter empirical fields in change-point problems
Lithuanian Mathematical Journal | 1988-01-01 | Paper |
