3 papers
math.ST2020
Fitting inhomogeneous phase-type distributions to data: the univariate and the multivariate case
Hansjoerg Albrecher, Mogens Bladt, Jorge Yslas
The class of inhomogeneous phase-type distributions (IPH) was recently introduced in Albrecher and Bladt (2019) as an extension of the classical phase-type (PH) distributions. Like…
math.PR2020
Point process convergence for the off-diagonal entries of sample covariance matrices
Johannes Heiny, Thomas Mikosch, Jorge Yslas
We study point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the extremes of these random walks. We show convergence of th…
math.PR2019
Gumbel and Fréchet convergence of the maxima of independent random walks
Thomas Mikosch, Jorge Yslas
We consider point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the largest extremes of these random walks. We show conver…