M. Veillette

activity

20092024

most citedProperties and numerical evaluation of the Rosenblatt distribution

66 citations · 91 across the 8 of their papers we have counts for

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4 papers · 1 filter

math.PR2010★ 1 cited

Berry-Esseen and Edgeworth approximations for the tail of an infinite sum of weighted gamma random variables

Mark S. Veillette, Murad S. Taqqu

Consider the sum $Z = \sum_{n = 1}^{\infty} λ_{n} (η_{n} - E η_{n})$ , where $η_{n}$ are i.i.d.~gamma random variables with shape parameter $r > 0$ , and the $λ_{n}$ 's are predetermined we…

math.PR2010★ 2 cited

Distribution functions of Poisson random integrals: Analysis and computation

Mark S. Veillette, Murad S. Taqqu

We want to compute the cumulative distribution function of a one-dimensional Poisson stochastic integral $I(\krnl) = \displaystyle \int_0^T \krnl(s) N(ds)$, where $N$ is a Poisson…

math.PR2009

Using Differential Equations to Obtain Joint Moments of First-Passage Times of Increasing Levy Processes

Mark S. Veillette, Murad S. Taqqu

Let ${D (s), s \geq 0}$ be a Lévy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that $D (0) = 0$ . We study the first-hitti…

math.PR2009

Numerical Computation of First-Passage Times of Increasing Levy Processes

Mark S. Veillette, Murad S. Taqqu

Let ${D (s), s \geq 0}$ be a non-decreasing Lévy process. The first-hitting time process ${E (t) t \geq 0}$ (which is sometimes referred to as an inverse subordinator) defined by…