1 citations · 2 across the 4 of their papers we have counts for
4 papers
Classification of Extremal Dependence in Financial Markets via Bootstrap Inference
Qian Hui, Sidney I. Resnick, Tiandong Wang
Accurately identifying the extremal dependence structure in multivariate heavy-tailed data is a fundamental yet challenging task, particularly in financial applications. Following…
2RV+HRV and Testing for Strong VS Full Dependence
Tiandong Wang, Sidney I. Resnick
Preferential attachment models of network growth are bivariate heavy tailed models for in- and out-degree with limit measures which either concentrate on a ray of positive slope fr…
Tauberian Theory for Multivariate Regularly Varying Distributions with Application to Preferential Attachment Networks
Sidney Resnick, Gennady Samorodnitsky
Abel-Tauberian theorems relate power law behavior of distributions and their transforms. We formulate and prove a multivariate version for non-standard regularly varying measures o…
Hidden regular variation of moving average processes with heavy-tailed innovations
Sideny I. Resnick, Joyjit Roy
We look at joint regular variation properties of MA() processes of the form where and the seq…