11 citations · 26 across the 6 of their papers we have counts for
15 papers
Moment Estimator-Based Extreme Quantile Estimation with Erroneous Observations: Application to Elliptical Extreme Quantile Region Estimation
Jaakko Pere, Pauliina Ilmonen, Lauri Viitasaari
In many application areas of extreme value theory, the variables of interest are not directly observable but instead contain errors. In this article, we quantify the effect of thes…
Cut-off phenomenon and asymptotic mixing for multivariate general linear processes
Gerardo Barrera, Michael A. Högele, Pauliina Ilmonen +1
The small noise cut-off phenomenon in continuous time and space has been studied in the recent literature for the linear and non-linear stable Langevin dynamics with additive Lévy…
On sharp rate of convergence for discretisation of integrals driven by fractional Brownian motions and related processes with discontinuous integrands
Ehsan Azmoodeh, Pauliina Ilmonen, Nourhan Shafik +2
We consider equidistant approximations of stochastic integrals driven by Hölder continuous Gaussian processes of order with discontinuous integrands involving bounded v…
Latent Model Extreme Value Index Estimation
Joni Virta, Niko Lietzén, Lauri Viitasaari +1
We propose a novel strategy for multivariate extreme value index estimation. In applications such as finance, volatility and risk present in the components of a multivariate time s…
Modeling temporally uncorrelated components for complex-valued stationary processes
Niko Lietzén, Lauri Viitasaari, Pauliina Ilmonen
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We st…
Vector-valued Generalised Ornstein-Uhlenbeck Processes
Marko Voutilainen, Lauri Viitasaari, Pauliina Ilmonen +2
Generalisations of the Ornstein-Uhlenbeck process defined through Langevin equation such as fractional Ornstein-Uhlenbeck processes, have recently receiv…