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07/07/2023
Mle-equivariance, data transformations and invariant tests of fit
We define data transformations that leave certain classes of distributio...
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03/30/2023
Self-normalized partial sums of heavy-tailed time series
We study the joint limit behavior of sums, maxima and ℓ^p-type moduli fo...
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09/19/2022
Trigonometrically approximated maximum likelihood estimation for stable law
A trigonometrically approximated maximum likelihood estimation for α-sta...
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05/04/2022
Subexponentialiy of densities of infinitely divisible distributions
We show the equivalence of three properties for an infinitely divisible ...
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10/09/2021
Tails of bivariate stochastic recurrence equation with triangular matrices
We study bivariate stochastic recurrence equations with triangular matri...
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07/07/2021
Distance covariance for random fields
We study an independence test based on distance correlation for random f...
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02/22/2019
Characterization of the tail behavior of a class of BEKK processes: A stochastic recurrence equation approach
We provide new, mild conditions for strict stationarity and ergodicity o...
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01/27/2019
Asymptotics of maximum likelihood estimation for stable law with continuous parameterization
Asymptotics of maximum likelihood estimation for α-stable law are analyt...
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01/27/2019
Asymptotics of maximum likelihood estimation for stable law with (M) parameterization
Asymptotics of maximum likelihood estimation for α-stable law are analyt...
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06/25/2018
