25 citations · 43 across the 15 of their papers we have counts for
4 papers · 1 filter
Rare Events in Random Geometric Graphs
Christian Hirsch, Sarat B. Moka, Thomas Taimre +1
This work introduces and compares approaches for estimating rare-event probabilities related to the number of edges in the random geometric graph on a Poisson point process. In the…
Tail asymptotics of light-tailed Weibull-like sums
Søren Asmussen, Enkelejd Hashorva, Patrick J. Laub +1
We consider sums of i.i.d. random variables with tails close to for some . Asymptotics developed by Rootzén (1987) and Balkema, Klüppelberg & Resnick (1993)…
Hawkes Processes
Patrick J. Laub, Thomas Taimre, Philip K. Pollett
Hawkes processes are a particularly interesting class of stochastic process that have been applied in diverse areas, from earthquake modelling to financial analysis. They are point…
A Correction Term for the Covariance of Renewal-Reward Processes with Multivariate Rewards
Brendan Patch, Yoni Nazarathy, Thomas Taimre
We consider a renewal-reward process with multivariate rewards. Such a process is constructed from an i.i.d.\ sequence of time periods, to each of which there is associated a multi…