Drees, Holger; Knežević, Miran Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds. (English) Zbl 1447.62050 Extremes 23, No. 3, 465-491 (2020). MSC: 62G32 62M10 62M15 62G05 PDFBibTeX XMLCite \textit{H. Drees} and \textit{M. Knežević}, Extremes 23, No. 3, 465--491 (2020; Zbl 1447.62050) Full Text: DOI arXiv
Albrecher, Hansjörg; Bladt, Martin; Bladt, Mogens Matrix Mittag-Leffler distributions and modeling heavy-tailed risks. (English) Zbl 1450.62044 Extremes 23, No. 3, 425-450 (2020). MSC: 62G32 62P05 33E12 91G05 62E10 62F10 PDFBibTeX XMLCite \textit{H. Albrecher} et al., Extremes 23, No. 3, 425--450 (2020; Zbl 1450.62044) Full Text: DOI arXiv
Hopkins, Samuel B. Mean estimation with sub-Gaussian rates in polynomial time. (English) Zbl 1454.62162 Ann. Stat. 48, No. 2, 1193-1213 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 62H12 62G32 68W01 90C22 PDFBibTeX XMLCite \textit{S. B. Hopkins}, Ann. Stat. 48, No. 2, 1193--1213 (2020; Zbl 1454.62162) Full Text: DOI arXiv Euclid
Yan, Yuan; Jeong, Jaehong; Genton, Marc G. Multivariate transformed Gaussian processes. (English) Zbl 1447.62054 Jpn. J. Stat. Data Sci. 3, No. 1, 129-152 (2020). MSC: 62H05 62G32 60G15 62P12 86A10 PDFBibTeX XMLCite \textit{Y. Yan} et al., Jpn. J. Stat. Data Sci. 3, No. 1, 129--152 (2020; Zbl 1447.62054) Full Text: DOI Link
Rebrova, Elizaveta Constructive regularization of the random matrix norm. (English) Zbl 1444.60014 J. Theor. Probab. 33, No. 3, 1768-1790 (2020). MSC: 60B20 15B52 PDFBibTeX XMLCite \textit{E. Rebrova}, J. Theor. Probab. 33, No. 3, 1768--1790 (2020; Zbl 1444.60014) Full Text: DOI arXiv
Albrecher, Hansjörg; Chen, Bohan; Vatamidou, Eleni; Zwart, Bert Finite-time ruin probabilities under large-claim reinsurance treaties for heavy-tailed claim sizes. (English) Zbl 1444.91188 J. Appl. Probab. 57, No. 2, 513-530 (2020). MSC: 91G05 60F10 PDFBibTeX XMLCite \textit{H. Albrecher} et al., J. Appl. Probab. 57, No. 2, 513--530 (2020; Zbl 1444.91188) Full Text: DOI arXiv
Lacker, Daniel A non-exponential extension of Sanov’s theorem via convex duality. (English) Zbl 1453.60074 Adv. Appl. Probab. 52, No. 1, 61-101 (2020). MSC: 60F10 46N10 PDFBibTeX XMLCite \textit{D. Lacker}, Adv. Appl. Probab. 52, No. 1, 61--101 (2020; Zbl 1453.60074) Full Text: DOI arXiv
Chavez, Gordon V. Dynamic tail inference with log-Laplace volatility. (English) Zbl 1461.62056 Extremes 23, No. 2, 287-315 (2020). MSC: 62G32 62M10 62P05 60G70 60F10 60H40 91G70 PDFBibTeX XMLCite \textit{G. V. Chavez}, Extremes 23, No. 2, 287--315 (2020; Zbl 1461.62056) Full Text: DOI arXiv
Guédon, O.; Litvak, A. E.; Tatarko, K. Random polytopes obtained by matrices with heavy-tailed entries. (English) Zbl 1440.52010 Commun. Contemp. Math. 22, No. 4, Article ID 1950027, 28 p. (2020). MSC: 52A22 46B06 60B20 52A23 46B09 15B52 PDFBibTeX XMLCite \textit{O. Guédon} et al., Commun. Contemp. Math. 22, No. 4, Article ID 1950027, 28 p. (2020; Zbl 1440.52010) Full Text: DOI arXiv
Ikefuji, Masako; Laeven, Roger J. A.; Magnus, Jan R.; Muris, Chris Expected utility and catastrophic risk in a stochastic economy-climate model. (English) Zbl 1456.62288 J. Econom. 214, No. 1, 110-129 (2020). MSC: 62P20 62P12 86A08 PDFBibTeX XMLCite \textit{M. Ikefuji} et al., J. Econom. 214, No. 1, 110--129 (2020; Zbl 1456.62288) Full Text: DOI
Minsker, Stanislav; Wei, Xiaohan Robust modifications of U-statistics and applications to covariance estimation problems. (English) Zbl 1457.62147 Bernoulli 26, No. 1, 694-727 (2020). Reviewer: Oleksandr Kukush (Kyïv) MSC: 62G32 62G30 62G35 62J10 62H12 PDFBibTeX XMLCite \textit{S. Minsker} and \textit{X. Wei}, Bernoulli 26, No. 1, 694--727 (2020; Zbl 1457.62147) Full Text: DOI arXiv Euclid
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles Tail expectile process and risk assessment. (English) Zbl 1441.62263 Bernoulli 26, No. 1, 531-556 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 62P05 62G32 91G05 91G15 60G70 91G70 PDFBibTeX XMLCite \textit{A. Daouia} et al., Bernoulli 26, No. 1, 531--556 (2020; Zbl 1441.62263) Full Text: DOI Euclid
Bernhard, Harald; Das, Bikramjit Heavy-tailed random walks, buffered queues and hidden large deviations. (English) Zbl 1477.60052 Bernoulli 26, No. 1, 61-92 (2020). Reviewer: Alexander Lindner (Ulm) MSC: 60F10 60F17 60G70 60G50 PDFBibTeX XMLCite \textit{H. Bernhard} and \textit{B. Das}, Bernoulli 26, No. 1, 61--92 (2020; Zbl 1477.60052) Full Text: DOI arXiv Euclid
Huillet, Thierry; Martínez, Servet Regenerative mutation processes related to the selfdecomposability of Sibuya distributions. (English) Zbl 1508.92170 Probab. Eng. Inf. Sci. 33, No. 2, 291-325 (2019). MSC: 92D15 60K10 PDFBibTeX XMLCite \textit{T. Huillet} and \textit{S. Martínez}, Probab. Eng. Inf. Sci. 33, No. 2, 291--325 (2019; Zbl 1508.92170) Full Text: DOI
Reyes, Jimmy; Gallardo, Diego I.; Bolfarine, Heleno; Gómez, Héctor W. A new class of slash-elliptical distributions. (English) Zbl 07539699 Commun. Stat., Theory Methods 48, No. 12, 3105-3121 (2019). MSC: 62-XX PDFBibTeX XMLCite \textit{J. Reyes} et al., Commun. Stat., Theory Methods 48, No. 12, 3105--3121 (2019; Zbl 07539699) Full Text: DOI
Loukissas, Fotios Precise large deviations for strong subexponential distributions and applications on a multi risk model. (English) Zbl 07529847 Commun. Stat., Theory Methods 48, No. 20, 5175-5190 (2019). MSC: 60F10 60F05 60G50 62-XX PDFBibTeX XMLCite \textit{F. Loukissas}, Commun. Stat., Theory Methods 48, No. 20, 5175--5190 (2019; Zbl 07529847) Full Text: DOI
Kruse, Thomas; Schneider, Judith C.; Schweizer, Nikolaus Technical note: The joint impact of \(F\)-divergences and reference models on the contents of uncertainty sets. (English) Zbl 1457.62146 Oper. Res. 67, No. 2, 428-435 (2019). MSC: 62G32 62G35 PDFBibTeX XMLCite \textit{T. Kruse} et al., Oper. Res. 67, No. 2, 428--435 (2019; Zbl 1457.62146) Full Text: DOI
Rytova, Anastasiya I.; Yarovaya, Elena B. Moments of particle numbers in a branching random walk with heavy tails. (English. Russian original) Zbl 1441.60070 Russ. Math. Surv. 74, No. 6, 1126-1128 (2019); translation from Usp. Mat. Nauk 74, No. 6, 165-166 (2019). MSC: 60J80 60B99 PDFBibTeX XMLCite \textit{A. I. Rytova} and \textit{E. B. Yarovaya}, Russ. Math. Surv. 74, No. 6, 1126--1128 (2019; Zbl 1441.60070); translation from Usp. Mat. Nauk 74, No. 6, 165--166 (2019) Full Text: DOI
Lu, Xiaoyang; Samorodnitsky, Gennady Risk forecasting in the context of time series. (English) Zbl 1448.60039 Lith. Math. J. 59, No. 4, 545-574 (2019). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 60E05 60G70 62P05 PDFBibTeX XMLCite \textit{X. Lu} and \textit{G. Samorodnitsky}, Lith. Math. J. 59, No. 4, 545--574 (2019; Zbl 1448.60039) Full Text: DOI
Bazhba, Mihail; Blanchet, Jose; Rhee, Chang-Han; Zwart, Bert Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times. (English) Zbl 1432.60082 Queueing Syst. 93, No. 3-4, 195-226 (2019). MSC: 60K25 68M20 PDFBibTeX XMLCite \textit{M. Bazhba} et al., Queueing Syst. 93, No. 3--4, 195--226 (2019; Zbl 1432.60082) Full Text: DOI
Caeiro, Frederico; Henriques-Rodrigues, Lígia Reduced-bias kernel estimators of a positive extreme value index. (English) Zbl 1436.62173 Math. Methods Appl. Sci. 42, No. 17, 5867-5880 (2019). MSC: 62G32 62G20 62G05 62P05 PDFBibTeX XMLCite \textit{F. Caeiro} and \textit{L. Henriques-Rodrigues}, Math. Methods Appl. Sci. 42, No. 17, 5867--5880 (2019; Zbl 1436.62173) Full Text: DOI
Das, Bikramjit; Fasen-Hartmann, Vicky Conditional excess risk measures and multivariate regular variation. (English) Zbl 1434.60085 Stat. Risk. Model. 36, No. 1-4, 1-23 (2019). MSC: 60F10 60G50 60G70 PDFBibTeX XMLCite \textit{B. Das} and \textit{V. Fasen-Hartmann}, Stat. Risk. Model. 36, No. 1--4, 1--23 (2019; Zbl 1434.60085) Full Text: DOI
Leipus, Remigijus; Šiaulys, Jonas; Vareikaitė, Ieva Tails of higher-order moments with dominatedly varying summands. (English) Zbl 1434.62027 Lith. Math. J. 59, No. 3, 389-407 (2019). Reviewer: Fraser Daly (Edinburgh) MSC: 62E20 60E05 60G70 62P05 PDFBibTeX XMLCite \textit{R. Leipus} et al., Lith. Math. J. 59, No. 3, 389--407 (2019; Zbl 1434.62027) Full Text: DOI
Sen, Rituparna; Subramaniam, Manavathi Stylized facts of the Indian stock market. (English) Zbl 1425.91451 Asia-Pac. Financ. Mark. 26, No. 4, 479-493 (2019). MSC: 91G99 62P05 PDFBibTeX XMLCite \textit{R. Sen} and \textit{M. Subramaniam}, Asia-Pac. Financ. Mark. 26, No. 4, 479--493 (2019; Zbl 1425.91451) Full Text: DOI arXiv
Pezzutto, Matthias; Schenato, Luca; Dey, Subhrakanti Heavy-tails in Kalman filtering with packet losses. (English) Zbl 1425.93287 Eur. J. Control 50, 62-71 (2019). MSC: 93E11 93C15 68M10 94A12 60H15 PDFBibTeX XMLCite \textit{M. Pezzutto} et al., Eur. J. Control 50, 62--71 (2019; Zbl 1425.93287) Full Text: DOI
Rossell, David; Steel, Mark F. J. Continuous mixtures with skewness and heavy tails. (English) Zbl 1428.62294 Frühwirth-Schnatter, Sylvia (ed.) et al., Handbook of mixture analysis. Boca Raton, FL: CRC Press. Chapman Hall/CRC Handb. Mod. Stat. Methods, 219-237 (2019). MSC: 62H30 62G32 60G70 PDFBibTeX XMLCite \textit{D. Rossell} and \textit{M. F. J. Steel}, in: Handbook of mixture analysis. Boca Raton, FL: CRC Press. 219--237 (2019; Zbl 1428.62294)
Betken, Annika; Kulik, Rafał Testing for change in long-memory stochastic volatility time series. (English) Zbl 1433.62252 J. Time Ser. Anal. 40, No. 5, 707-738 (2019). Reviewer: Wiesław Dziubdziela (Miedziana Góra) MSC: 62M10 60F17 62G10 PDFBibTeX XMLCite \textit{A. Betken} and \textit{R. Kulik}, J. Time Ser. Anal. 40, No. 5, 707--738 (2019; Zbl 1433.62252) Full Text: DOI arXiv
Cattiaux, Patrick; Nasreddine, Elissar; Puel, Marjolaine Diffusion limit for kinetic Fokker-Planck equation with heavy tails equilibria: the critical case. (English) Zbl 1420.35111 Kinet. Relat. Models 12, No. 4, 727-748 (2019). MSC: 35K10 35Q84 60F05 35K65 60J55 PDFBibTeX XMLCite \textit{P. Cattiaux} et al., Kinet. Relat. Models 12, No. 4, 727--748 (2019; Zbl 1420.35111) Full Text: DOI
Georgiou, Nicholas; Menshikov, Mikhail V.; Petritis, Dimitri; Wade, Andrew R. Markov chains with heavy-tailed increments and asymptotically zero drift. (English) Zbl 1466.60138 Electron. J. Probab. 24, Paper No. 62, 28 p. (2019). MSC: 60J05 60J10 PDFBibTeX XMLCite \textit{N. Georgiou} et al., Electron. J. Probab. 24, Paper No. 62, 28 p. (2019; Zbl 1466.60138) Full Text: DOI arXiv Euclid
Liu, Jian-Guo; Niethammer, B.; Pego, Robert L. Self-similar spreading in a merging-splitting model of animal group size. (English) Zbl 1420.92095 J. Stat. Phys. 175, No. 6, 1311-1330 (2019). MSC: 92D25 92D50 92D40 35Q92 PDFBibTeX XMLCite \textit{J.-G. Liu} et al., J. Stat. Phys. 175, No. 6, 1311--1330 (2019; Zbl 1420.92095) Full Text: DOI arXiv
Manita, O. A.; Veretennikov, A. Yu. On convergence of 1D Markov diffusions to heavy-tailed invariant density. (English) Zbl 1415.60066 Mosc. Math. J. 19, No. 1, 89-106 (2019). MSC: 60H10 60J60 PDFBibTeX XMLCite \textit{O. A. Manita} and \textit{A. Yu. Veretennikov}, Mosc. Math. J. 19, No. 1, 89--106 (2019; Zbl 1415.60066) Full Text: arXiv Link
Liu, Benjamin R.; Kot, Mark Accelerating invasions and the asymptotics of fat-tailed dispersal. (English) Zbl 1412.92262 J. Theor. Biol. 471, 22-41 (2019). MSC: 92D25 92D40 PDFBibTeX XMLCite \textit{B. R. Liu} and \textit{M. Kot}, J. Theor. Biol. 471, 22--41 (2019; Zbl 1412.92262) Full Text: DOI Link
Wang, Wenju; Wang, Qiao Consistent specification test for partially linear models with the k-nearest-neighbor method. (English) Zbl 1416.62256 Econ. Lett. 177, 89-93 (2019). MSC: 62G10 62J05 62G20 PDFBibTeX XMLCite \textit{W. Wang} and \textit{Q. Wang}, Econ. Lett. 177, 89--93 (2019; Zbl 1416.62256) Full Text: DOI
Lachos, Víctor H.; Cabral, Celso R. B.; Prates, Marcos O.; Dey, Dipak K. Flexible regression modeling for censored data based on mixtures of Student-\(t\) distributions. (English) Zbl 1417.62280 Comput. Stat. 34, No. 1, 123-152 (2019). MSC: 62N01 62J05 62F10 62P20 PDFBibTeX XMLCite \textit{V. H. Lachos} et al., Comput. Stat. 34, No. 1, 123--152 (2019; Zbl 1417.62280) Full Text: DOI
Benoist, Tristan; Panati, Annalisa; Raquépas, Renaud Control of fluctuations and heavy tails for heat variation in the two-time measurement framework. (English) Zbl 1416.82014 Ann. Henri Poincaré 20, No. 2, 631-674 (2019). Reviewer: Utkir A. Rozikov (Tashkent) MSC: 82B30 PDFBibTeX XMLCite \textit{T. Benoist} et al., Ann. Henri Poincaré 20, No. 2, 631--674 (2019; Zbl 1416.82014) Full Text: DOI arXiv
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization. (English) Zbl 1442.62106 Bernoulli 25, No. 1, 264-309 (2019). MSC: 62G32 62G08 62M10 62P05 PDFBibTeX XMLCite \textit{A. Daouia} et al., Bernoulli 25, No. 1, 264--309 (2019; Zbl 1442.62106) Full Text: DOI Euclid
Krupskii, Pavel; Genton, Marc G. A copula model for non-Gaussian multivariate spatial data. (English) Zbl 1418.62366 J. Multivariate Anal. 169, 264-277 (2019). Reviewer: Alex V. Kolnogorov (Novgorod) MSC: 62M30 60E05 62H05 62P12 86A32 PDFBibTeX XMLCite \textit{P. Krupskii} and \textit{M. G. Genton}, J. Multivariate Anal. 169, 264--277 (2019; Zbl 1418.62366) Full Text: DOI arXiv Link
Prono, Todd Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE. (English) Zbl 1507.62293 Stud. Nonlinear Dyn. Econom. 22, No. 5, Article ID 20170070, 25 p. (2018). MSC: 62M10 62F12 62P20 PDFBibTeX XMLCite \textit{T. Prono}, Stud. Nonlinear Dyn. Econom. 22, No. 5, Article ID 20170070, 25 p. (2018; Zbl 1507.62293) Full Text: DOI
Caginalp, Carey; Caginalp, Gunduz The quotient of normal random variables and application to asset price fat tails. (English) Zbl 1514.60020 Physica A 499, 457-471 (2018). MSC: 60E05 62E15 91G30 PDFBibTeX XMLCite \textit{C. Caginalp} and \textit{G. Caginalp}, Physica A 499, 457--471 (2018; Zbl 1514.60020) Full Text: DOI arXiv
Mattos, Thalita do Bem; Garay, Aldo M.; Lachos, Victor H. Likelihood-based inference for censored linear regression models with scale mixtures of skew-normal distributions. (English) Zbl 1516.62468 J. Appl. Stat. 45, No. 11, 2039-2066 (2018). MSC: 62-XX PDFBibTeX XMLCite \textit{T. d. B. Mattos} et al., J. Appl. Stat. 45, No. 11, 2039--2066 (2018; Zbl 1516.62468) Full Text: DOI
Lin, Tsung-I; Wang, Wan-Lun; Mclachlan, Geoffrey J.; Lee, Sharon X. Robust mixtures of factor analysis models using the restricted multivariate skew-\(t\) distribution. (English) Zbl 07289498 Stat. Model. 18, No. 1, 50-72 (2018). MSC: 62-XX PDFBibTeX XMLCite \textit{T.-I Lin} et al., Stat. Model. 18, No. 1, 50--72 (2018; Zbl 07289498) Full Text: DOI
Rumyantsev, Alexander; Chakravarthy, Srinivas; Morozov, Evsey; Remnev, Stanislav Cost and effect of replication and quorum in desktop grid computing. (English) Zbl 1490.68067 Dudin, Alexander (ed.) et al., Information technologies and mathematical modelling. Queueing theory and applications. 17th international conference, ITMM 2018, named after A.F. Terpugov, and 12th workshop on retrial queues and related topics, WRQ 2018, Tomsk, Russia, September 10–15, 2018. Selected papers. Cham: Springer. Commun. Comput. Inf. Sci. 912, 143-156 (2018). MSC: 68M20 PDFBibTeX XMLCite \textit{A. Rumyantsev} et al., Commun. Comput. Inf. Sci. 912, 143--156 (2018; Zbl 1490.68067) Full Text: DOI
Gasperoni, Francesca; Luati, Alessandra Robust methods for detecting spontaneous activations in fMRI data. (English) Zbl 1414.92168 Canale, Antonio (ed.) et al., Studies in neural data science. StartUp research 2017, Siena, Italy, June 25–27, 2017. Cham: Springer. Springer Proc. Math. Stat. 257, 91-110 (2018). MSC: 92C55 92C20 PDFBibTeX XMLCite \textit{F. Gasperoni} and \textit{A. Luati}, Springer Proc. Math. Stat. 257, 91--110 (2018; Zbl 1414.92168) Full Text: DOI
Goldaeva, Anna A.; Lebedev, Alexey V. On extremal indices greater than one for a scheme of series. (English) Zbl 1407.60075 Lith. Math. J. 58, No. 4, 384-398 (2018). MSC: 60G70 62G32 PDFBibTeX XMLCite \textit{A. A. Goldaeva} and \textit{A. V. Lebedev}, Lith. Math. J. 58, No. 4, 384--398 (2018; Zbl 1407.60075) Full Text: DOI
Krupskii, Pavel; Genton, Marc G. Linear factor copula models and their properties. (English) Zbl 1408.62099 Scand. J. Stat. 45, No. 4, 861-878 (2018). MSC: 62H05 62G32 PDFBibTeX XMLCite \textit{P. Krupskii} and \textit{M. G. Genton}, Scand. J. Stat. 45, No. 4, 861--878 (2018; Zbl 1408.62099) Full Text: DOI Link
Migliorati, Sonia; Di Brisco, Agnese Maria; Ongaro, Andrea A new regression model for bounded responses. (English) Zbl 1407.62279 Bayesian Anal. 13, No. 3, 845-872 (2018). MSC: 62J12 62F15 62H30 62G32 PDFBibTeX XMLCite \textit{S. Migliorati} et al., Bayesian Anal. 13, No. 3, 845--872 (2018; Zbl 1407.62279) Full Text: DOI Euclid
Politis, D. N.; Vasiliev, V. A.; Vorobeychikov, S. E. Truncated estimation of ratio statistics with application to heavy tail distributions. (English) Zbl 1409.62103 Math. Methods Stat. 27, No. 3, 226-243 (2018). Reviewer: Wiesław Dziubdziela (Miedziana Gora) MSC: 62G32 62G05 62G20 PDFBibTeX XMLCite \textit{D. N. Politis} et al., Math. Methods Stat. 27, No. 3, 226--243 (2018; Zbl 1409.62103) Full Text: DOI
Minsker, Stanislav Sub-Gaussian estimators of the mean of a random matrix with heavy-tailed entries. (English) Zbl 1418.62235 Ann. Stat. 46, No. 6A, 2871-2903 (2018). MSC: 62H12 60B20 62G35 15B52 62G32 PDFBibTeX XMLCite \textit{S. Minsker}, Ann. Stat. 46, No. 6A, 2871--2903 (2018; Zbl 1418.62235) Full Text: DOI arXiv Euclid
Menshikov, Mikhail V.; Petritis, Dimitri; Wade, Andrew R. Heavy-tailed random walks on complexes of half-lines. (English) Zbl 1404.60060 J. Theor. Probab. 31, No. 3, 1819-1859 (2018). MSC: 60G50 60J05 60J10 PDFBibTeX XMLCite \textit{M. V. Menshikov} et al., J. Theor. Probab. 31, No. 3, 1819--1859 (2018; Zbl 1404.60060) Full Text: DOI arXiv
Krupskii, Pavel; Huser, Raphaël; Genton, Marc G. Factor copula models for replicated spatial data. (English) Zbl 1398.62256 J. Am. Stat. Assoc. 113, No. 521, 467-479 (2018). MSC: 62M30 62G32 62H05 62H25 PDFBibTeX XMLCite \textit{P. Krupskii} et al., J. Am. Stat. Assoc. 113, No. 521, 467--479 (2018; Zbl 1398.62256) Full Text: DOI arXiv Link
Bandi, Chaithanya; Bertsimas, Dimitris; Youssef, Nataly Robust transient analysis of multi-server queueing systems and feed-forward networks. (English) Zbl 1397.90104 Queueing Syst. 89, No. 3-4, 351-413 (2018). MSC: 90B22 90C05 90B10 PDFBibTeX XMLCite \textit{C. Bandi} et al., Queueing Syst. 89, No. 3--4, 351--413 (2018; Zbl 1397.90104) Full Text: DOI Link
Tatarko, Kateryna An upper bound on the smallest singular value of a square random matrix. (English) Zbl 1395.60008 J. Complexity 48, 119-128 (2018). MSC: 60B20 15B52 PDFBibTeX XMLCite \textit{K. Tatarko}, J. Complexity 48, 119--128 (2018; Zbl 1395.60008) Full Text: DOI arXiv
Ferragut, Andres; Rodriguez, Ismael; Paganini, Fernando Optimal timer-based caching policies for general arrival processes. (English) Zbl 1391.90139 Queueing Syst. 88, No. 3-4, 207-241 (2018). MSC: 90B18 90C25 68M20 PDFBibTeX XMLCite \textit{A. Ferragut} et al., Queueing Syst. 88, No. 3--4, 207--241 (2018; Zbl 1391.90139) Full Text: DOI
Davis, Richard A.; Drees, Holger; Segers, Johan; Warchoł, Michał Inference on the tail process with application to financial time series modeling. (English) Zbl 1452.62759 J. Econom. 205, No. 2, 508-525 (2018). MSC: 62P05 62M10 62G32 PDFBibTeX XMLCite \textit{R. A. Davis} et al., J. Econom. 205, No. 2, 508--525 (2018; Zbl 1452.62759) Full Text: DOI arXiv
Akashi, Fumiya; Bai, Shuyang; Taqqu, Murad S. Robust regression on stationary time series: a self-normalized resampling approach. (English) Zbl 1392.62258 J. Time Ser. Anal. 39, No. 3, 417-432 (2018). MSC: 62M10 62J05 62F12 PDFBibTeX XMLCite \textit{F. Akashi} et al., J. Time Ser. Anal. 39, No. 3, 417--432 (2018; Zbl 1392.62258) Full Text: DOI
Rubio, F. J.; Steel, M. F. J. Flexible linear mixed models with improper priors for longitudinal and survival data. (English) Zbl 1473.62094 Electron. J. Stat. 12, No. 1, 572-598 (2018). MSC: 62F15 62J05 62N01 PDFBibTeX XMLCite \textit{F. J. Rubio} and \textit{M. F. J. Steel}, Electron. J. Stat. 12, No. 1, 572--598 (2018; Zbl 1473.62094) Full Text: DOI arXiv Euclid
Korshunov, Dmitry On subexponential tails for the maxima of negatively driven compound renewal and Lévy processes. (English) Zbl 1390.60110 Stochastic Processes Appl. 128, No. 4, 1316-1332 (2018). MSC: 60F10 60G51 60K05 PDFBibTeX XMLCite \textit{D. Korshunov}, Stochastic Processes Appl. 128, No. 4, 1316--1332 (2018; Zbl 1390.60110) Full Text: DOI arXiv Link
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles Estimation of tail risk based on extreme expectiles. (English) Zbl 1383.62235 J. R. Stat. Soc., Ser. B, Stat. Methodol. 80, No. 2, 263-292 (2018). MSC: 62P05 62G32 60G70 91B30 91G70 PDFBibTeX XMLCite \textit{A. Daouia} et al., J. R. Stat. Soc., Ser. B, Stat. Methodol. 80, No. 2, 263--292 (2018; Zbl 1383.62235) Full Text: DOI Link
Rebrova, Elizaveta; Vershynin, Roman Norms of random matrices: local and global problems. (English) Zbl 1380.60016 Adv. Math. 324, 40-83 (2018). MSC: 60B20 PDFBibTeX XMLCite \textit{E. Rebrova} and \textit{R. Vershynin}, Adv. Math. 324, 40--83 (2018; Zbl 1380.60016) Full Text: DOI arXiv
Bücher, Axel; Segers, Johan Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series. (English) Zbl 1414.62354 Bernoulli 24, No. 2, 1427-1462 (2018). MSC: 62M10 60G70 62F10 PDFBibTeX XMLCite \textit{A. Bücher} and \textit{J. Segers}, Bernoulli 24, No. 2, 1427--1462 (2018; Zbl 1414.62354) Full Text: DOI arXiv Euclid
Preminger, Arie; Storti, Giuseppe Least-squares estimation of GARCH(1,1) models with heavy-tailed errors. (English) Zbl 07565916 Econom. J. 20, No. 2, 221-258 (2017). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Preminger} and \textit{G. Storti}, Econom. J. 20, No. 2, 221--258 (2017; Zbl 07565916) Full Text: DOI
Graves, Timothy; Franzke, Christian L. E.; Watkins, Nicholas W.; Gramacy, Robert B.; Tindale, Elizabeth Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models. (English) Zbl 1400.62176 Physica A 473, 60-71 (2017). MSC: 62M10 PDFBibTeX XMLCite \textit{T. Graves} et al., Physica A 473, 60--71 (2017; Zbl 1400.62176) Full Text: DOI Link
Antunes, Nelson; Pipiras, Vladas; Abry, Patrice; Veitch, Darryl Small and large scale behavior of moments of Poisson cluster processes. (English) Zbl 1393.60051 ESAIM, Probab. Stat. 21, 369-393 (2017). MSC: 60G55 60G18 60K30 60G22 PDFBibTeX XMLCite \textit{N. Antunes} et al., ESAIM, Probab. Stat. 21, 369--393 (2017; Zbl 1393.60051) Full Text: DOI
Chakrabarty, Arijit Large deviations for truncated heavy-tailed random variables: a boundary case. (English) Zbl 1390.60100 Indian J. Pure Appl. Math. 48, No. 4, 671-703 (2017). MSC: 60F10 PDFBibTeX XMLCite \textit{A. Chakrabarty}, Indian J. Pure Appl. Math. 48, No. 4, 671--703 (2017; Zbl 1390.60100) Full Text: DOI arXiv
Challet, Damien Sharper asset ranking from total drawdown durations. (English) Zbl 1398.62286 Appl. Math. Finance 24, No. 1-2, 1-22 (2017). MSC: 62P05 62E15 62G32 PDFBibTeX XMLCite \textit{D. Challet}, Appl. Math. Finance 24, No. 1--2, 1--22 (2017; Zbl 1398.62286) Full Text: DOI arXiv
Javed, Farrukh; Podgórski, Krzysztof Tail behavior and dependence structure in the APARCH model. (English) Zbl 1499.62308 J. Time Ser. Econom. 9, No. 2, Article No. 20160002, 48 p. (2017). MSC: 62M10 62P05 PDFBibTeX XMLCite \textit{F. Javed} and \textit{K. Podgórski}, J. Time Ser. Econom. 9, No. 2, Article No. 20160002, 48 p. (2017; Zbl 1499.62308) Full Text: DOI Link
Yarovaya, E. Positive discrete spectrum of the evolutionary operator of supercritical branching walks with heavy tails. (English) Zbl 1387.60125 Methodol. Comput. Appl. Probab. 19, No. 4, 1151-1167 (2017). MSC: 60J80 60J35 62G32 PDFBibTeX XMLCite \textit{E. Yarovaya}, Methodol. Comput. Appl. Probab. 19, No. 4, 1151--1167 (2017; Zbl 1387.60125) Full Text: DOI arXiv
Das, Bikramjit; Resnick, Sidney I. Hidden regular variation under full and strong asymptotic dependence. (English) Zbl 1381.28005 Extremes 20, No. 4, 873-904 (2017). MSC: 28A33 60G70 62G05 62G32 PDFBibTeX XMLCite \textit{B. Das} and \textit{S. I. Resnick}, Extremes 20, No. 4, 873--904 (2017; Zbl 1381.28005) Full Text: DOI arXiv
Naulet, Zacharie; Rousseau, Judith Posterior concentration rates for mixtures of normals in random design regression. (English) Zbl 1380.62210 Electron. J. Stat. 11, No. 2, 4065-4102 (2017). MSC: 62G20 62G08 PDFBibTeX XMLCite \textit{Z. Naulet} and \textit{J. Rousseau}, Electron. J. Stat. 11, No. 2, 4065--4102 (2017; Zbl 1380.62210) Full Text: DOI Euclid
Mao, Guangyu Variance-corrected tests for covariance structures with high-dimensional data. (English) Zbl 1381.62234 J. Multivariate Anal. 162, 71-81 (2017). MSC: 62J10 62H15 PDFBibTeX XMLCite \textit{G. Mao}, J. Multivariate Anal. 162, 71--81 (2017; Zbl 1381.62234) Full Text: DOI
Getan, A.; Molchanov, S.; Vainberg, B. Intermittency for branching walks with heavy tails. (English) Zbl 1372.60124 Stoch. Dyn. 17, No. 6, Article ID 1750044, 14 p. (2017). MSC: 60J80 60J85 PDFBibTeX XMLCite \textit{A. Getan} et al., Stoch. Dyn. 17, No. 6, Article ID 1750044, 14 p. (2017; Zbl 1372.60124) Full Text: DOI arXiv
Cao, Wen; Hurvich, Clifford; Soulier, Philippe Drift in transaction-level asset price models. (English) Zbl 1378.62125 J. Time Ser. Anal. 38, No. 5, 769-790 (2017). MSC: 62P05 60F05 60G55 62M10 91B25 PDFBibTeX XMLCite \textit{W. Cao} et al., J. Time Ser. Anal. 38, No. 5, 769--790 (2017; Zbl 1378.62125) Full Text: DOI arXiv
Figueiredo, Fernanda; Gomes, M. Ivette; Henriques-Rodrigues, Lígia Value-at-risk estimation and the PORT mean-of-order-\(p\) methodology. (English) Zbl 1369.62279 REVSTAT 15, No. 2, 187-204 (2017). MSC: 62P05 62G32 62E20 91G70 PDFBibTeX XMLCite \textit{F. Figueiredo} et al., REVSTAT 15, No. 2, 187--204 (2017; Zbl 1369.62279) Full Text: Link
Leipus, Remigijus; Šiaulys, Jonas On the random max-closure for heavy-tailed random variables. (English) Zbl 1373.60031 Lith. Math. J. 57, No. 2, 208-221 (2017). MSC: 60E05 62E10 60G70 PDFBibTeX XMLCite \textit{R. Leipus} and \textit{J. Šiaulys}, Lith. Math. J. 57, No. 2, 208--221 (2017; Zbl 1373.60031) Full Text: DOI
Bae, Taehan; Ko, Bangwon A note on weighted infinite sums of dependent regularly varying tailed random variables. (English) Zbl 1368.91112 J. Korean Stat. Soc. 46, No. 3, 321-327 (2017). MSC: 91B30 60K10 62E20 62P05 PDFBibTeX XMLCite \textit{T. Bae} and \textit{B. Ko}, J. Korean Stat. Soc. 46, No. 3, 321--327 (2017; Zbl 1368.91112) Full Text: DOI
Villa, Cristiano Bayesian estimation of the threshold of a generalised Pareto distribution for heavy-tailed observations. (English) Zbl 1422.62111 Test 26, No. 1, 95-118 (2017). MSC: 62F15 62P05 62G32 PDFBibTeX XMLCite \textit{C. Villa}, Test 26, No. 1, 95--118 (2017; Zbl 1422.62111) Full Text: DOI arXiv
Zheng, Qi; Gallagher, Colin; Kulasekera, K. B. Robust adaptive Lasso for variable selection. (English) Zbl 1368.62213 Commun. Stat., Theory Methods 46, No. 9, 4642-4659 (2017). MSC: 62J07 62F07 PDFBibTeX XMLCite \textit{Q. Zheng} et al., Commun. Stat., Theory Methods 46, No. 9, 4642--4659 (2017; Zbl 1368.62213) Full Text: DOI
Wang, Tiandong; Resnick, Sidney I. Asymptotic normality of in- and out-degree counts in a preferential attachment model. (English) Zbl 1367.05091 Stoch. Models 33, No. 2, 229-255 (2017). MSC: 05C20 60G70 28A33 05C90 60G51 91D30 PDFBibTeX XMLCite \textit{T. Wang} and \textit{S. I. Resnick}, Stoch. Models 33, No. 2, 229--255 (2017; Zbl 1367.05091) Full Text: DOI arXiv
Kuhwald, Isabelle; Pavlyukevich, Ilya Stochastic resonance with multiplicative heavy-tailed Lévy noise: optimal tuning on an algebraic time scale. (English) Zbl 1367.60069 Stoch. Dyn. 17, No. 4, Article ID 1750027, 20 p. (2017). MSC: 60H10 60G51 60J60 60J75 PDFBibTeX XMLCite \textit{I. Kuhwald} and \textit{I. Pavlyukevich}, Stoch. Dyn. 17, No. 4, Article ID 1750027, 20 p. (2017; Zbl 1367.60069) Full Text: DOI
Guédon, Olivier; Litvak, Alexander E.; Pajor, Alain; Tomczak-Jaegermann, Nicole On the interval of fluctuation of the singular values of random matrices. (English) Zbl 1405.60011 J. Eur. Math. Soc. (JEMS) 19, No. 5, 1469-1505 (2017). MSC: 60B20 15B52 46B09 PDFBibTeX XMLCite \textit{O. Guédon} et al., J. Eur. Math. Soc. (JEMS) 19, No. 5, 1469--1505 (2017; Zbl 1405.60011) Full Text: DOI arXiv
Haouas, Nawel; Necir, Abdelhakim; Meraghni, Djamel; Brahimi, Brahim A Lynden-Bell integral estimator for the tail index of right-truncated data with a random threshold. (English. French summary) Zbl 1366.62101 Afr. Stat. 12, No. 1, 1159-1170 (2017). MSC: 62G32 60F17 62G30 62N01 PDFBibTeX XMLCite \textit{N. Haouas} et al., Afr. Stat. 12, No. 1, 1159--1170 (2017; Zbl 1366.62101) Full Text: DOI arXiv Euclid
Kifer, Yuri; Varadhan, S. R. S. Tails of polynomials of random variables and stable limits for nonconventional sums. (English) Zbl 1362.60033 J. Stat. Phys. 166, No. 3-4, 575-608 (2017). MSC: 60F17 60F05 60E07 60G52 60G51 PDFBibTeX XMLCite \textit{Y. Kifer} and \textit{S. R. S. Varadhan}, J. Stat. Phys. 166, No. 3--4, 575--608 (2017; Zbl 1362.60033) Full Text: DOI arXiv
Wang, Wensheng Large deviations for sums of random vectors attracted to operator semi-stable laws. (English) Zbl 1368.60029 J. Theor. Probab. 30, No. 1, 64-84 (2017). Reviewer: Ravi Sreenivasan (Mysore) MSC: 60F10 60G50 60E07 60K40 60F05 PDFBibTeX XMLCite \textit{W. Wang}, J. Theor. Probab. 30, No. 1, 64--84 (2017; Zbl 1368.60029) Full Text: DOI
Paulauskas, Vygantas; Vaičiulis, Marijus A class of new tail index estimators. (English) Zbl 1362.62116 Ann. Inst. Stat. Math. 69, No. 2, 461-487 (2017). MSC: 62G32 62G30 62G20 PDFBibTeX XMLCite \textit{V. Paulauskas} and \textit{M. Vaičiulis}, Ann. Inst. Stat. Math. 69, No. 2, 461--487 (2017; Zbl 1362.62116) Full Text: DOI arXiv
Walter, Clément Point process-based Monte Carlo estimation. (English) Zbl 1505.62414 Stat. Comput. 27, No. 1, 219-236 (2017). MSC: 62-08 65C05 62G32 PDFBibTeX XMLCite \textit{C. Walter}, Stat. Comput. 27, No. 1, 219--236 (2017; Zbl 1505.62414) Full Text: DOI arXiv
Alfaro, Matthieu Slowing Allee effect versus accelerating heavy tails in monostable reaction diffusion equations. (English) Zbl 1358.35056 Nonlinearity 30, No. 2, 687-702 (2017). MSC: 35K57 35B40 92D25 35Q92 PDFBibTeX XMLCite \textit{M. Alfaro}, Nonlinearity 30, No. 2, 687--702 (2017; Zbl 1358.35056) Full Text: DOI arXiv HAL
Bansaye, Vincent; Vatutin, Vladimir On the survival probability for a class of subcritical branching processes in random environment. (English) Zbl 1362.60074 Bernoulli 23, No. 1, 58-88 (2017). Reviewer: P. R. Parthasarathy (Chennai) MSC: 60J80 60K37 60G50 PDFBibTeX XMLCite \textit{V. Bansaye} and \textit{V. Vatutin}, Bernoulli 23, No. 1, 58--88 (2017; Zbl 1362.60074) Full Text: DOI arXiv Euclid
Feuerverger, Andrey On goodness of fit for operational risk. (English) Zbl 07763533 Int. Stat. Rev. 84, No. 3, 434-455 (2016). MSC: 62-XX PDFBibTeX XMLCite \textit{A. Feuerverger}, Int. Stat. Rev. 84, No. 3, 434--455 (2016; Zbl 07763533) Full Text: DOI
Gomes, M. Ivette; Penalva, Helena; Caeiro, Frederico; Neves, M. Manuela Non-reduced versus reduced-bias estimators of the extreme value index – efficiency and robustness. (English) Zbl 1462.62028 Colubi, Ana (ed.) et al., Proceedings of COMPSTAT 2016 – 22nd international conference on computational statistics, Oviedo, Spain, August 23–26, 2016. The Hague: International Statistical Institute; The Hague: International Association for Statistical Computing. 279-290 (2016). MSC: 62-08 62G32 62G35 PDFBibTeX XMLCite \textit{M. I. Gomes} et al., in: Proceedings of COMPSTAT 2016 -- 22nd international conference on computational statistics, Oviedo, Spain, August 23--26, 2016. The Hague: International Statistical Institute; The Hague: International Association for Statistical Computing. 279--290 (2016; Zbl 1462.62028)
Hitaj, Asmerilda; Hubalek, Friedrich; Mercuri, Lorenzo; Rroji, Edit On multivariate extensions of the mixed tempered stable distribution. (English) Zbl 1462.62029 Colubi, Ana (ed.) et al., Proceedings of COMPSTAT 2016 – 22nd international conference on computational statistics, Oviedo, Spain, August 23–26, 2016. The Hague: International Statistical Institute; The Hague: International Association for Statistical Computing. 159-167 (2016). MSC: 62-08 60E07 62H05 PDFBibTeX XMLCite \textit{A. Hitaj} et al., in: Proceedings of COMPSTAT 2016 -- 22nd international conference on computational statistics, Oviedo, Spain, August 23--26, 2016. The Hague: International Statistical Institute; The Hague: International Association for Statistical Computing. 159--167 (2016; Zbl 1462.62029)
Fares, Abu Seif Mohammad; Gopal, Vajjha Venkata Hara The generalized double Lomax distribution with applications. (English) Zbl 1454.62072 Statistica 76, No. 4, 341-352 (2016). MSC: 62E15 62G32 62N05 62P05 PDFBibTeX XMLCite \textit{A. S. M. Fares} and \textit{V. V. H. Gopal}, Statistica 76, No. 4, 341--352 (2016; Zbl 1454.62072) Full Text: DOI
Kristoufek, Ladislav Power-law cross-correlations estimation under heavy tails. (English) Zbl 1510.91193 Commun. Nonlinear Sci. Numer. Simul. 40, 163-172 (2016). MSC: 91G70 62P05 65C05 PDFBibTeX XMLCite \textit{L. Kristoufek}, Commun. Nonlinear Sci. Numer. Simul. 40, 163--172 (2016; Zbl 1510.91193) Full Text: DOI arXiv
Resnick, Sidney I.; Samorodnitsky, Gennady Asymptotic normality of degree counts in a preferential attachment model. (English) Zbl 1426.05152 Adv. Appl. Probab. 48, No. A, 283-299 (2016). MSC: 05C80 60G70 60G42 91D30 PDFBibTeX XMLCite \textit{S. I. Resnick} and \textit{G. Samorodnitsky}, Adv. Appl. Probab. 48, No. A, 283--299 (2016; Zbl 1426.05152) Full Text: DOI arXiv
Veretennikov, Alexander; Zverkina, Galina On polynomial bounds of convergence for the availability factor. (English) Zbl 1392.60074 Vishnevsky, Vladimir (ed.) et al., Distributed computer and communication networks. 18th international conference, DCCN 2015, Moscow, Russia, October 19–22, 2015. Revised selected papers. Cham: Springer (ISBN 978-3-319-30842-5/pbk; 978-3-319-30843-2/ebook). Communications in Computer and Information Science 601, 358-369 (2016). MSC: 60K25 60J10 PDFBibTeX XMLCite \textit{A. Veretennikov} and \textit{G. Zverkina}, Commun. Comput. Inf. Sci. 601, 358--369 (2016; Zbl 1392.60074) Full Text: DOI arXiv
Koops, D. T.; Boxma, O. J.; Mandjes, M. R. H. A tandem fluid network with Lévy input in heavy traffic. (English) Zbl 1386.60307 Queueing Syst. 84, No. 3-4, 355-379 (2016). MSC: 60K25 PDFBibTeX XMLCite \textit{D. T. Koops} et al., Queueing Syst. 84, No. 3--4, 355--379 (2016; Zbl 1386.60307) Full Text: DOI arXiv
Gomes, M. Ivette; Henriques-Rodrigues, Lígia; Manjunath, B. G. Mean-of-order-\(p\) location-invariant extreme value index estimation. (English) Zbl 1369.62106 REVSTAT 14, No. 3, 273-296 (2016). MSC: 62G32 PDFBibTeX XMLCite \textit{M. I. Gomes} et al., REVSTAT 14, No. 3, 273--296 (2016; Zbl 1369.62106) Full Text: Link
Gairing, Jan; Högele, Michael; Kosenkova, Tetiana; Kulik, Alexei On the calibration of Lévy driven time series with coupling distances and an application in paleoclimate. (English) Zbl 1366.62174 Ancona, Fabio (ed.) et al., Mathematical paradigms of climate science. Based on the workshop, Rome, Italy, summer 2013. Cham: Springer (ISBN 978-3-319-39091-8/hbk; 978-3-319-39092-5/ebook). Springer INdAM Series 15, 115-136 (2016). MSC: 62M10 62P12 60G51 86A10 86A32 PDFBibTeX XMLCite \textit{J. Gairing} et al., Springer INdAM Ser. 15, 115--136 (2016; Zbl 1366.62174) Full Text: DOI
Belitsky, V.; Menshikov, M.; Petritis, D.; Vachkovskaia, M. Random dynamical systems with systematic drift competing with heavy-tailed randomness. (English) Zbl 1361.60058 Markov Process. Relat. Fields 22, No. 4, 629-652 (2016). MSC: 60J10 60G48 37H10 34F05 PDFBibTeX XMLCite \textit{V. Belitsky} et al., Markov Process. Relat. Fields 22, No. 4, 629--652 (2016; Zbl 1361.60058)
Asmussen, Søren; Lipsky, Lester; Thompson, Stephen Markov renewal methods in restart problems in complex systems. (English) Zbl 1354.60109 Podolskij, Mark (ed.) et al., The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer (ISBN 978-3-319-25824-9/hbk; 978-3-319-25826-3/ebook). 501-527 (2016). MSC: 60K10 60J27 60K15 PDFBibTeX XMLCite \textit{S. Asmussen} et al., in: The fascination of probability, statistics and their applications. In honour of Ole E. Barndorff-Nielsen. Cham: Springer. 501--527 (2016; Zbl 1354.60109) Full Text: DOI Link
Kawai, Reiichiro Higher order fractional stable motion: hyperdiffusion with heavy tails. (English) Zbl 1355.60050 J. Stat. Phys. 165, No. 1, 126-152 (2016). MSC: 60G22 60G52 60J60 60G18 60G17 60F05 65C50 PDFBibTeX XMLCite \textit{R. Kawai}, J. Stat. Phys. 165, No. 1, 126--152 (2016; Zbl 1355.60050) Full Text: DOI