Zobrazeno 1 - 10
of 750
pro vyhledávání: '"Hashorva, E."'
Autor:
Hashorva, E.
For a given stationary max-stable random field $X(t),t\in Z^d$ the corresponding generalised Pickands constant coincides with the classical extremal index $\theta$ which always exists. In this contribution we discuss necessary and sufficient conditio
Externí odkaz:
http://arxiv.org/abs/2003.00727
Gaussian random processes which variances reach theirs maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute maximums of theirs trajectories have been evaluated using Double Sum Method under the
Externí odkaz:
http://arxiv.org/abs/1901.09753
Autor:
Hashorva, E.
Gaussian random vectors exhibit the loss of dimension phenomena, which relate to their joint survival tail behaviour. Besides, the fact that the components of such vectors are light-tailed complicates the approximations of various multivariate risk m
Externí odkaz:
http://arxiv.org/abs/1803.06922
In this contribution we are concerned with the asymptotic behaviour as $u\to \infty$ of $\mathbb{P}\{\sup_{t\in [0,T]} X_u(t)> u\}$, where $X_u(t),t\in [0,T],u>0$ is a family of centered Gaussian processes with continuous trajectories. A key applicat
Externí odkaz:
http://arxiv.org/abs/1701.05387
Calculation of an optimal tariff is a principal challenge for pricing actuaries. In this contribution we are concerned with the renewal insurance business discussing various mathematical aspects of calculation of an optimal renewal tariff. Our motiva
Externí odkaz:
http://arxiv.org/abs/1605.05814
Let $\{\zeta_{m,k}^{(\kappa)}(t), t \ge0\}, \kappa>0$ be random processes defined as the differences of two independent stationary chi-type processes with $m$ and $k$ degrees of freedom. In applications such as physical sciences and engineering deali
Externí odkaz:
http://arxiv.org/abs/1508.02758
Normal comparison lemma and Slepian's inequality are essential tools in the study of Gaussian processes. In this paper we extend normal comparison lemma and derive various related comparison inequalities including Slepian's inequality for order stati
Externí odkaz:
http://arxiv.org/abs/1503.09094
Autor:
Hashorva, E., Tan, Z.
In this paper we derive Piterbarg's max-discretisation theorem for two different grids considering centered stationary vector Gaussian processes. So far in the literature results in this direction have been derived for the joint distribution of the m
Externí odkaz:
http://arxiv.org/abs/1410.1802
Autor:
Hashorva, E., Weng, Z.
Publikováno v:
2013, Stat. Probab. Letters, 831, 320-330
In this paper we show that the componentwise maxima ofweakly dependent bivariate stationary Gaussian triangular arrays converge in distribution after normalisation to H\"usler-Reiss distribution. Under a strong dependence assumption, we prove that th
Externí odkaz:
http://arxiv.org/abs/1405.2570
Autor:
Hashorva, E., Weng, Z.
Publikováno v:
Statistics, 48(5), 1155-1165, 2014
In this paper we derive the tail asymptotics of the product of two dependent Weibull-type risks, which is of interest in various statistical and applied probability problems. Our results extend some recent findings of Schlueter and Fischer (2012) and
Externí odkaz:
http://arxiv.org/abs/1405.2455