172 citations · 550 across the 37 of their papers we have counts for
Showing 2016 · math.PRShow all
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math.PR2016★ 10 cited
On Optimal Exact Simulation of Max-Stable and Related Random Fields
Zhipeng Liu, Jose H. Blanchet, A. B. Dieker +1
We consider the random field M(t)=\sup_{n\geq 1}\big\{-\log A_{n}+X_{n}(t)\big\}\,,\qquad t\in T\, for a set , where is an iid sequence of center…
math.PR2016★ 1 cited
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case
Johannes Heiny, Thomas Mikosch
In this paper we study the joint distributional convergence of the largest eigenvalues of the sample covariance matrix of a -dimensional time series with iid entries when co…
math.PR2016★ 3 cited
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
Anja Janßen, Thomas Mikosch, Mohsen Rezapour +1
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its ent…