110 citations · 164 across the 29 of their papers we have counts for
37 papers
Lévy graphical models
Sebastian Engelke, Jevgenijs Ivanovs, Jakob D. Thøstesen
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For Lévy processes, a widely applied class of stochas…
One-sided Markov additive processes with lattice and non-lattice increments
Jevgenijs Ivanovs, Guy Latouche, Peter Taylor
Dating from the work of Neuts in the 1980s, the field of matrix-analytic methods has been developed to analyse discrete or continuous-time Markov chains with a two-dimensional stat…
Graphical models for infinite measures with applications to extremes
Sebastian Engelke, Jevgenijs Ivanovs, Kirstin Strokorb
Conditional independence and graphical models are well studied for probability distributions on product spaces. We propose a new notion of conditional independence for any measure…
A series expansion formula of the scale matrix with applications in change-point detection
Jevgenijs Ivanovs, Kazutoshi Yamazaki
We introduce a new Levy fluctuation theoretic method to analyze the cumulative sum (CUSUM) procedure in sequential change-point detection. When observations are phase-type distribu…
Lévy processes conditioned to stay in a half-space with applications to directional extremes
Jevgenijs Ivanovs, Jakob D. Thøstesen
This paper provides a multivariate extension of Bertoin's pathwise construction of a Lévy process conditioned to stay positive/negative. Thus obtained processes conditioned to stay…
Implementable coupling of Lévy process and Brownian motion
Vladimir Fomichov, Jorge González Cázares, Jevgenijs Ivanovs
We provide a simple algorithm for construction of Brownian paths approximating those of a Lévy process on a finite time interval. It requires knowledge of the Lévy process trajecto…