172 citations · 550 across the 37 of their papers we have counts for
4 papers · 2 filters
Precise large deviations for dependent subexponential variables
Thomas Mikosch, Igor Rodionov
In this paper we study precise large deviations for the partial sums of a stationary sequence with a subexponential marginal distribution. Our main focus is on distributions which…
Point process convergence for the off-diagonal entries of sample covariance matrices
Johannes Heiny, Thomas Mikosch, Jorge Yslas
We study point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the extremes of these random walks. We show convergence of th…
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
Johannes Heiny, Thomas Mikosch
In this paper, we show that the largest and smallest eigenvalues of a sample correlation matrix stemming from independent observations of a -dimensional time series with iid…
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
Johannes Heiny, Thomas Mikosch
We consider a -dimensional time series where the dimension increases with the sample size . The resulting data matrix follows a stochastic volatility model: each entr…