Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
Poisson limits for U-statistics
Dabrowski, A. R., Dehling, H. G., Mikosch, Thomas Valentin & Sharipov, O., 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 137-157Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
Damek, E., Mikosch, Thomas Valentin, Zhao, Y. & Zienkiewicz, J., 2023, In: Stochastic Processes and Their Applications. 155, p. 232-267Research output: Contribution to journal › Journal article › Research › peer-review
- Published
General inverse problems for regular variation
Damek, E., Mikosch, Thomas Valentin, Rosinski, J. & Samorodnitsky, G., 2014, In: Journal of Applied Probability. 51A, p. 229-248Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Applications of distance correlation to time series
Davis, R., Matsui, M., Mikosch, Thomas Valentin & Wan, P., 2018, In: Bernoulli. 24, 4A, p. 3087-3116Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Extreme value analysis for the sample covariance matrices of heavy-tailed multivariate time series
Davis, R., Heiny, J., Mikosch, Thomas Valentin & Xie, X., 2016, In: Extremes. 19, 3, p. 517-547Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Measures of serial extremal dependence and their estimation
Davis, R. A., Mikosch, Thomas Valentin & Zhao, Y., 2013, In: Stochastic Processes and Their Applications. 123, 7, p. 2575-2602Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
Davis, R. A., Mikosch, Thomas Valentin & Pfaffel, O., 2016, In: Stochastic Processes and Their Applications. 126, 3, p. 767–799Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Extreme Value Theory for Space-Time Processes with Heavy-Tailed Distributions
Davis, R. A. & Mikosch, Thomas Valentin, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-22.Research output: Working paper
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The extremogram: a correlogram for extreme events.
Davis, R. A. & Mikosch, Thomas Valentin, 2009, In: Bernoulli. 195, 4, p. 977-1009Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Empirical Process Techniques for Dependent Data
Dehling, H. G. (ed.), Mikosch, Thomas Valentin (ed.) & Sørensen, Michael (ed.), 2002, Boston: Birkhäuser Verlag. 545 p.Research output: Book/Report › Anthology › Research › peer-review
ID: 3696
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599
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General inverse problems for regular variation
Research output: Contribution to journal › Journal article › Research › peer-review
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573
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Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
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210
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A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
Published