14 citations · 32 across the 11 of their papers we have counts for
4 papers · 1 filter
When does the mean excess plot look linear?
Souvik Ghosh, Sidney I. Resnick
In risk analysis, the mean excess plot is a commonly used exploratory plotting technique for confirming iid data is consistent with a generalized Pareto assumption for the underlyi…
A functional large and moderate deviation principle for infinitely divisible processes driven by null-recurrent markov chains
Souvik Ghosh
Suppose is a space with a null-recurrent Markov kernel . Furthermore, suppose there are infinite particles with variable weights on performing a random walk following…
Weak limits for exploratory plots in the analysis of extremes
Bikramjit Das, Souvik Ghosh
Exploratory data analysis is often used to test the goodness-of-fit of sample observations to specific target distributions. A few such graphical tools have been extensively used t…
Long Strange Segments, Ruin Probabilities and the Effect of Memory on Moving Average Processes
Souvik Ghosh, Gennady Samorodnitsky
We obtain the rate of growth of long strange segments and the rate of decay of infinite horizon ruin probabilities for a class of infinite moving average processes with exponential…