Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

Publication year:
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76 - 100 out of 103Page size: 25
  1. 2014
  2. Published

    The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains

    Mikosch, Thomas Valentin & Wintenberger, O., 2014, In: Probability Theory and Related Fields. 159, p. 157-196

    Research output: Contribution to journal › Journal article › Research › peer-review

  3. 2015
  4. Published

    Exact simulation of Brown-Resnick random fields at a finite number of locations

    Dieker, T. & Mikosch, Thomas Valentin, 2015, In: Extremes. 18, p. 301-314

    Research output: Contribution to journal › Journal article › Research › peer-review

  5. Published

    The Integrated periodogram of a dependent extremal event sequence

    Mikosch, Thomas Valentin & Zhao, Y., 2015, In: Stochastic Processes and Their Applications. 125, 8, p. 3126-3169

    Research output: Contribution to journal › Journal article › Research › peer-review

  6. 2016
  7. Published

    A large deviations approach to limit theory for heavy-tailed time series

    Mikosch, Thomas Valentin & Wintenberger, O., 2016, In: Probability Theory and Related Fields. 166, p. 233-269

    Research output: Contribution to journal › Journal article › Research › peer-review

  8. 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. 767–799

    Research output: Contribution to journal › Journal article › Research › peer-review

  9. 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. 517-547

    Research output: Contribution to journal › Journal article › Research › peer-review

  10. Published

    Stochastic Models with Power-Laws Tails: The Equation X=AX+B

    Buraczewski, D., Damek, E. & Mikosch, Thomas Valentin, 2016, New York: Springer. 320 p. (Operations Research and Financial Engineering). (Springer Series in Operations Research and Financial Engineering).

    Research output: Book/Report › Book › Research › peer-review

  11. Published

    The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process

    Matsui, M. & Mikosch, Thomas Valentin, 2016, In: Advances in Applied Probability. 48 , A, p. 217 - 233

    Research output: Contribution to journal › Journal article › Research › peer-review

  12. 2017
  13. Published

    Distance correlation for stochastic processes

    Matsui, M., Mikosch, Thomas Valentin & Samorodnitsky, G., 2017, In: Probability and Mathematical Statistics. 37, 2, p. 355-372 18 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  14. Published

    Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case.

    Heiny, J. & Mikosch, Thomas Valentin, 2017, In: Stochastic Processes and Their Applications. 127, 7, p. 2179-2242

    Research output: Contribution to journal › Journal article › Research › peer-review

  15. 2018
  16. Published

    Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices

    Heiny, J. & Mikosch, Thomas Valentin, 2018, In: Stochastic Processes and Their Applications. 128, 8, p. 2779-2815 37 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  17. Published

    Applications of distance correlation to time series

    Davis, R., Matsui, M., Mikosch, Thomas Valentin & Wan, P., 2018, In: Bernoulli. 24, 4A, p. 3087-3116

    Research output: Contribution to journal › Journal article › Research › peer-review

  18. Published

    The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

    Janßen, A., Mikosch, Thomas Valentin, Rezapour Toughari, M. & Xie, X., 2018, In: Bernoulli. 24, 2, p. 1351-1393

    Research output: Contribution to journal › Journal article › Research › peer-review

  19. 2019
  20. Published

    Heavy tails for an alternative stochastic perpetuity model

    Mikosch, Thomas Valentin, Rezapour, M. & Wintenberger, O., 2019, In: Stochastic Processes and Their Applications. 129, 11, p. 4638-4662 25 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  21. Published

    On logarithmically optimal exact simulation of max-stable and related random fields on a compact set

    Liu, Z., Blanchet, J. H., Dieker, A. B. & Mikosch, Thomas Valentin, 2019, In: Bernoulli. 25, 4A, p. 2949-2981

    Research output: Contribution to journal › Journal article › Research › peer-review

  22. Published

    The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

    Heiny, J. & Mikosch, Thomas Valentin, 2019, In: Bernoulli. 25, 4 B, p. 3590-3622 33 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  23. 2020
  24. Published

    Distance covariance for discretized stochastic processes

    Dehling, H. G., Matsui, M., Mikosch, Thomas Valentin, Samorodnitsky, G. & Tafakori, L., 2020, In: Bernoulli. 26, p. 2758-2789

    Research output: Contribution to journal › Journal article › Research › peer-review

  25. Published

    Gumbel and Frechet convergence of the maxima of independent random walks

    Mikosch, Thomas Valentin & Yslas Altamirano, J., 2020, In: Advances in Applied Probability. 52, 1, p. 213-236

    Research output: Contribution to journal › Journal article › Research › peer-review

  26. Published

    Homogeneous mappings of regularly varying vectors

    Dyszewski, P. & Mikosch, Thomas Valentin, 2020, In: Annals of Applied Probability. 30, 6, p. 2999-3026

    Research output: Contribution to journal › Journal article › Research › peer-review

  27. 2021
  28. Published

    Large sample autocovariance matrices of linear processes with heavy tails

    Heiny, J. & Mikosch, Thomas Valentin, 2021, In: Stochastic Processes and Their Applications. 141, p. 344-375

    Research output: Contribution to journal › Journal article › Research › peer-review

  29. Published

    Point process convergence for the off-diagonal entries of sample covariance matrices

    Heiny, J., Mikosch, Thomas Valentin & Yslas, J., 2021, In: Annals of Applied Probability. 31, 2, p. 538-560

    Research output: Contribution to journal › Journal article › Research › peer-review

  30. Published

    Precise large deviations for dependent subexponential variables

    Mikosch, Thomas Valentin & Rodionov, I., 2021, In: Bernoulli. 27, 2, p. 1319-1347 29 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  31. 2022
  32. Published

    Distance covariance for random fields

    Matsui, M., Mikosch, Thomas Valentin, Roozegar, R. & Tafakori, L., 2022, In: Stochastic Processes and Their Applications. 150, p. 280-322 43 p.

    Research output: Contribution to journal › Journal article › Research › peer-review

  33. Published

    Some variations on the extremal index

    Buriticá, G., Meyer, N. B., Mikosch, Thomas Valentin & Wintenberger, O., 2022, In: Zapiski Nauchnykh Seminarov POMI. 501, p. 52–77

    Research output: Contribution to journal › Journal article › Research › peer-review

  34. 2023
  35. Published

    Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference

    Buriticá, G., Mikosch, Thomas Valentin & Wintenberger, O., 2023, In: Stochastic Processes and Their Applications. 161, p. 68-101

    Research output: Contribution to journal › Journal article › Research › peer-review

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