Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

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  1. 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. 70-78

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

  2. Published

    Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed

    Konstantinides, D. & Mikosch, Thomas Valentin, 2005, In: Annals of Probability. 33, p. 1992-2035

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

  3. Published

    Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations

    Konstantinides, D. G. & Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-32.

    Research output: Working paper › Research

  4. Published

    Is network traffic approximated by stable Lévy motion or fractional Brownian Motion?

    Mikosch, Thomas Valentin, Resnick, S., Rootzén, H. & Stegeman, A., 2002, In: Annals of Applied Probability. 12, 1, p. 23-68

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

  5. Published

    Inverse problems for regular variation of linear filters, a cancellation property for sigma-finite measures, and identification of stable laws.

    Mikosch, Thomas Valentin, Jacobsen, Martin, Rosinski, J. & Samorodnitsky, G., 2008, 25 p.

    Research output: Working paper › Research

  6. Published

    Inverse problems for regular variation of linear filters, a cancellation property for $\sigma$-finite measures, and identification of stable laws.

    Mikosch, Thomas Valentin, Jacobsen, Martin, Rosinski, J. & Samorodnitsky, G., 2009, In: Annals of Applied Probability. 19, 1, p. 210-242 33 p.

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

  7. Published

    How to model multivariate extremes if one must?

    Mikosch, Thomas Valentin, 2005, In: Statistica Neerlandica. 59, p. 324-338

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

  8. Published

    How to Model Multivariate Extremes if One Must?

    Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.

    Research output: Working paper › Research

  9. 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

  10. Published

    Heavy tails of OLS

    Mikosch, Thomas Valentin & de Vries, C., 2013, In: Journal of Econometrics. 172, 2, p. 205-221

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

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