Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
Distance covariance for discretized stochastic processes
Dehling, H. G., Matsui, M., Mikosch, Thomas Valentin, Samorodnitsky, G. & Tafakori, L., 2020, In: Bernoulli. 26, p. 2758-2789Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Exact simulation of Brown-Resnick random fields at a finite number of locations
Dieker, T. & Mikosch, Thomas Valentin, 2015, In: Extremes. 18, p. 301-314Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Homogeneous mappings of regularly varying vectors
Dyszewski, P. & Mikosch, Thomas Valentin, 2020, In: Annals of Applied Probability. 30, 6, p. 2999-3026Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Aggregation of log-linear risks
Embrechts, P., Hashorva, E. & Mikosch, Thomas Valentin, 2014, In: Journal of Applied Probability. 51A, p. 203-212Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
Embrechts, P., Klüppelberg, C. & Mikosch, Thomas Valentin, 2023, Mathematics Going Forward: Collected Mathematical Brushstrokes. Springer, p. 115-139 25 p. (Lecture Notes in Mathematics, Vol. 2313).Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
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Modeling teletraffic arrivals by a Poisson cluster process
Faÿ, G., González-Arévalo2, B., Mikosch, Thomas Valentin & Samorodnitsky, G., 2006, In: Queueing Systems. 54, 2, p. 121-140Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Modeling Telefraffic Arrivals by a Poisson Cluster Process
Fäy, G., González-Arávalo, B., Mikosch, Thomas Valentin & Samorodnitsky, G., 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, p. 1-27.Research output: Working paper › Research
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Regularly varying functions
Hedegaard Jessen, A. & Mikosch, Thomas Valentin, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-23.Research output: Working paper › Research
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Large sample autocovariance matrices of linear processes with heavy tails
Heiny, J. & Mikosch, Thomas Valentin, 2021, In: Stochastic Processes and Their Applications. 141, p. 344-375Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 2179-2242Research 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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570
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Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
207
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A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
Published