172 citations · 550 across the 37 of their papers we have counts for
5 papers · 1 filter
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…
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…
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…
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…
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series
Richard Davis, Johannes Heiny, Thomas Mikosch +1
We provide some asymptotic theory for the largest eigenvalues of a sample covariance matrix of a p-dimensional time series where the dimension p = p_n converges to infinity when th…