T. Mikosch

most citedFunctional large deviations for multivariate regularly varying random walks

73 citations · 168 across the 3 of their papers we have counts for

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math.PR2007★ 27 cited

Inverse problems for regular variation of linear filters, a cancellation property for $σ$ -finite measures and identification of stable laws

Martin Jacobsen, Thomas Mikosch, Jan Rosiński +1

In this paper, we consider certain $σ$ -finite measures which can be interpreted as the output of a linear filter. We assume that these measures have regularly varying tails and stu…

math.PR2006★ 73 cited

Functional large deviations for multivariate regularly varying random walks

Henrik Hult, Filip Lindskog, Thomas Mikosch +1

We extend classical results by A. V. Nagaev [Izv. Akad. Nauk UzSSR Ser. Fiz.--Mat. Nauk 6 (1969) 17--22, Theory Probab. Appl. 14 (1969) 51--64, 193--208] on large deviations for su…

Inverse problems for regular variation of linear filters, a cancellation property for σ-finite measures and identification of stable laws

Functional large deviations for multivariate regularly varying random walks

Inverse problems for regular variation of linear filters, a cancellation property for $σ$ -finite measures and identification of stable laws