Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2012
- Published
Towards estimating extremal serial dependence via the bootstrapped extremogram.
Mikosch, Thomas Valentin, 2012, In: Journal of Econometrics. 170, p. 142-152Research output: Contribution to journal › Journal article › Research › peer-review
- 2011
- Published
Stable limits for sums of dependent infinite variance random variables
Bartkiewicz, K., Jakubowski, A., Mikosch, Thomas Valentin & Wintenberger, O., 2011, In: Probability Theory and Related Fields. 150, 3-4, p. 337-372Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation
Mikosch, Thomas Valentin, Pawlas, Z. & Samorodnitsky, G., 2011, In: Journal of Applied Probability. 48A, p. 133-144Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets
Mikosch, Thomas Valentin, Pawlas, Z. & Samorodnitsky, G., 2011, In: Vestnik St Petersburg University - Mathematics. 2011, 2, p. 70-78Research output: Contribution to journal › Journal article › Research › peer-review
- Published
New Frontiers in Applied Probability: A Festschrift for Soeren Asmussen
Mikosch, Thomas Valentin, Glynn, P. & Rolski, T., Aug 2011, Sheffield, U.K.: Applied Probability Trust. 390 p. (Journal of Applied Probability, Vol. Special Volume 48A).Research output: Book/Report › Anthology › Research › peer-review
- 2010
- Published
Weak convergence of the function-indexed integrated periodogram for infinite variance processes
Can, U., Mikosch, Thomas Valentin & Samorodnitsky, G., 2010, In: Bernoulli. 16, 4, p. 995-1015 21 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Prediction in a Poisson cluster model
Mikosch, Thomas Valentin & Matsui, M., 2010, In: Journal of Applied Probability. 47, p. 350-366Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Prediction of outstanding payments in a Poisson cluster model
Mikosch, Thomas Valentin, Samorodnitsky, G. & Jessen, A. H., 2010, In: Scandinavian Actuarial Journal. 2010, p. 1651-2030Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution
Mikosch, Thomas Valentin & Rackauskas, A., 2010, In: Bernoulli. 16, 4, p. 1016-1038 23 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2009
- Published
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
ID: 3696
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595
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General inverse problems for regular variation
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Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
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207
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A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
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