4 citations · 8 across the 16 of their papers we have counts for
8 papers · 1 filter
Extrapolation of max-stable random fields with Fréchet marginals
Vitalii Makogin, Evgeny Spodarev, Ilja Sukhanov
We propose a method for the prediction of stationary max--stable random fields with -Fréchet marginal distribution . The method is suitable to cope with heavy tails for $α\…
Extrapolation of Stationary Random Fields Via Level Sets
Abhinav Das, Vitalii Makogin, Evgeny Spodarev
In this paper, we use the concept of excursion sets for the extrapolation of stationary random fields. Doing so, we define excursion sets for the field and its linear predictor, an…
Approximate solution of the integral equations involving kernel with additional singularity
Vitalii Makogin, Yuliya Mishura, Hanna Zhelezniak
The paper is devoted to the approximate solutions of the Fredholm integral equations of the second kind with the weak singular kernel that can have additional singularity in the nu…
Long Range Dependence for Stable Random Processes
Vitalii Makogin, Marco Oesting, Albert Rapp +1
We investigate long and short memory in -stable moving averages and max-stable processes with -Fréchet marginal distributions. As these processes are heavy-tailed, we rely on…
Gaussian self-similar random fields with distinct stationary properties of their rectangular increments
Vitalii Makogin, Yuliya Mishura
We describe two classes of Gaussian self-similar random fields: with strictly stationary rectangular increments and with mild stationary rectangular increments. We find explicit sp…
Simulation paradoxes related to a fractional Brownian motion with small Hurst index
Vitalii Makogin
We consider the simulation of sample paths of a fractional Brownian motion with small values of the Hurst index and estimate the behavior of the expected maximum. We prove that, fo…
Probability distributions of extremes of self-similar Gaussian random fields
Vitalii Makogin, Yuriy Kozachenko
We have obtained some upper bounds for the probability distribution of extremes of a self-similar Gaussian random field with stationary rectangular increments that are defined on t…
Example of a Gaussian self-similar field with stationary rectangular increments that is not a fractional Brownian sheet
Vitalii Makogin, Yuliya Mishura
We consider anisotropic self-similar random fields, in particular, the fractional Brownian sheet. This Gaussian field is an extension of fractional Brownian motion. We prove some p…