172 citations · 550 across the 37 of their papers we have counts for
18 papers · 1 filter
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
Ewa Damek, Thomas Mikosch, Yuwei Zhao +1
We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular v…
Distance covariance for random fields
Muneya Matsui, Thomas Mikosch, Rasool Roozegar +1
We study an independence test based on distance correlation for random fields . We consider the situations when is observed on a lattice with equidistant grid sizes…
Large sample autocovariance matrices of linear processes with heavy tails
Johannes Heiny, Thomas Mikosch
We provide asymptotic theory for certain functions of the sample autocovariance matrices of a high-dimensional time series with infinite fourth moment. The time series exhibits lin…
Distance covariance for discretized stochastic processes
Herold Dehling, Muneya Matsui, Thomas Mikosch +2
Given an iid sequence of pairs of stochastic processes on the unit interval we construct a measure of independence for the components of the pairs. We define distance covariance an…
Distance covariance for stochastic processes
Muneya Matsui, Thomas Mikosch, Gennady Samorodnitsky
The distance covariance of two random vectors is a measure of their dependence. The empirical distance covariance and correlation can be used as statistical tools for testing wheth…
Applications of Distance Correlation to Time Series
Richard A. Davis, Muneya Matsui, Thomas Mikosch +1
The use of empirical characteristic functions for inference problems, including estimation in some special parametric settings and testing for goodness of fit, has a long history d…