Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2024
- Published
Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation
Cavaliere, G., Mikosch, Thomas Valentin, Rahbek, Anders & Rasmussen, Frederik Vilandt, 2024, In: Journal of Econometrics. 238, 2, 14 p., 105613.Research output: Contribution to journal › Journal article › Research › peer-review
- 2023
- 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. 68-101Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
Damek, E., Mikosch, Thomas Valentin, Zhao, Y. & Zienkiewicz, J., 2023, In: Stochastic Processes and Their Applications. 155, p. 232-267Research 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
- 2022
- 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. 52–77Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 2021
- 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. 344-375Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 538-560Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 2020
- 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
ID: 3696
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595
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General inverse problems for regular variation
Research output: Contribution to journal › Journal article › Research › peer-review
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570
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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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