Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor


  1. 2019
  2. 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 journalJournal articleResearchpeer-review

  3. 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 journalJournal articleResearchpeer-review

  4. 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 journalJournal articleResearchpeer-review

  5. 2018
  6. 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 journalJournal articleResearchpeer-review

  7. 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 journalJournal articleResearchpeer-review

  8. 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 journalJournal articleResearchpeer-review

  9. 2017
  10. Published

    Distance correlation for stochastic processes

    Matsui, M., Mikosch, Thomas Valentin & Samorodnitsky, G., 2017, In : Probability and Mathematical Statistics. 37, 12, p. 355-372

    Research output: Contribution to journalJournal articleResearchpeer-review

  11. Published

    Distance covariance 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 journalJournal articleResearchpeer-review

  12. 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 journalJournal articleResearchpeer-review

  13. 2016
  14. 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 journalJournal articleResearchpeer-review

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