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math.ST2024
Decompounding Under General Mixing Distributions
Denis Belomestny, Ekaterina Morozova, Vladimir Panov
This study focuses on statistical inference for compound models of the form , where is a random variable denoting the count of summands, which are independent…
math.ST2021
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…
math.ST2015★ 2 cited
Series representations for bivariate time-changed L{é}vy models
Vladimir Panov, Igor Sirotkin
In this paper, we analyze a L{é}vy model based on two popular concepts - subordination and L{é}vy copulas. More precisely, we consider a two-dimensional L{é}vy process such that ea…