2 citations · 3 across the 7 of their papers we have counts for
10 papers
Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes
Ekaterina Morozova, Vladimir Panov
In this paper, we present a new bivariate model for the joint description of the Bitcoin prices and the media attention to Bitcoin. Our model is based on the class of the Lévy proc…
Extreme value analysis for mixture models with heavy-tailed impurity
Vladimir Panov, Ekaterina Morozova
This paper deals with the extreme value analysis for the triangular arrays, which appear when some parameters of the mixture model vary as the number of observations grow. When the…
Extremes of Gaussian non-stationary processes and maximal deviation of projection density estimates
Valentin Konakov, Vladimir Panov, Vladimir Piterbarg
In this paper, we consider the distribution of the supremum of non-stationary Gaussian processes, and present a new theoretical result on the asymptotic behaviour of this distribut…
Limit Theorems for the Alloy-type Random Energy Model
Stanislav Molchanov, Vladimir Panov
In this paper, we consider limit laws for the model, which is a generalisation of the random energy model (REM) to the case when the energy levels have the mixture distribution. Mo…
Multivariate subordination of stable processes
V. Panov, E. Samarin
This article is devoted to some time-changed stochastic models based on multivariate stable processes. The considered models have several advantages in comparison with classical ti…
Semiparametric estimation in the normal variance-mean mixture model
Denis Belomestny, Vladimir Panov
In this paper we study the problem of statistical inference on the parameters of the semiparametric variance-mean mixtures. This class of mixtures has recently become rather popula…