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A large deviations approach to limit theory for heavy-tailed time series

Publikováno v: Probability Theory and Related Fields, Springer Verlag (Germany), 2015, pp.654

In this paper we propagate a large deviations approach for proving limit theory for (generally) multivariate time series with heavy tails. We make this notion precise by introducing regularly varying time series. We provide general large deviation re

Externí odkaz: http://arxiv.org/abs/1509.00253

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Рецензия на книгу: Embrechts P., Klüppelberg C., Mikosch T. 'Modelling Extremal Events for Insurance and Finance'

Autor: Vsevolod Konstantinovich Malinovskii

Publikováno v: Teoriya Veroyatnostei i ee Primeneniya. 46:821-823

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::52ee9653e85b5cc82fac6727184fb6f1
https://doi.org/10.4213/tvp3831

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Exact simulation of Brown-Resnick random fields at a finite number of locations

Autor: Dieker, A. B., Mikosch, T.

We propose an exact simulation method for Brown-Resnick random fields, building on new representations for these stationary max-stable fields. The main idea is to apply suitable changes of measure.

Externí odkaz: http://arxiv.org/abs/1406.5624

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Large deviations for solutions to stochastic recurrence equations under Kesten's condition

Autor: Buraczewski, D., Damek, E., Mikosch, T., Zienkiewicz, J.

Publikováno v: Annals of Probability 2013, Vol. 41, No. 4, 2755-2790

In this paper we prove large deviations results for partial sums constructed from the solution to a stochastic recurrence equation. We assume Kesten's condition [Acta Math. 131 (1973) 207-248] under which the solution of the stochastic recurrence equ

Externí odkaz: http://arxiv.org/abs/1307.6677

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