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Stable Non-Gaussian Random Processes : Stochastic Models with Infinite Variance

- G. Samorodnitsky, M. Taqqu
- Mathematics
- 1 June 1995

Stable random variables on the real line Multivariate stable distributions Stable stochastic integrals Dependence structures of multivariate stable distributions Non-linear regression Complex stable… Expand

Subexponentiality of the product of independent random variables

- D. B. Cline, G. Samorodnitsky
- Mathematics
- 1994

Long Range Dependence

- G. Samorodnitsky
- MathematicsFound. Trends Stoch. Syst.
- 31 December 2007

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Extreme Value Theory as a Risk Management Tool

- P. Embrechts, S. Resnick, G. Samorodnitsky
- Business, Economics
- 1 April 1999

The financial industry, including banking and insurance, is undergoing major changes. The (re)insurance industry is increasingly exposed to catastrophic losses for which the requested cover is only… Expand

The supremum of a negative drift random walk with dependent heavy-tailed steps

- T. Mikosch, G. Samorodnitsky
- Mathematics
- 1 August 2000

Many important probabilistic models in queuing theory, insurance and finance deal with partial sums of a negative mean stationary process (a negative drift random walk), and the law of the supremum… Expand

Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes

- G. Samorodnitsky
- Mathematics
- 1 April 2004

We study the partial maxima of stationary α-stable processes. We relate their asymptotic behavior to the ergodic theoretical properties of the flow. We observe a sharp change in the asymptotic… Expand

Functional large deviations for multivariate regularly varying random walks

- H. Hult, F. Lindskog, T. Mikosch, G. Samorodnitsky
- Mathematics
- 1 November 2005

We extend classical results by A. V. Nagaev [Izv Akad. Nauk UzSSR Ser Fiz.-Mat. Nauk 6 (1969) 17-22, Theory Probab. Appl. 14 (1969) 51-64, 193-208] on large deviations for sums of i.i.d. regularly… Expand

Tail probabilities for infinite series of regularly varying random vectors

- H. Hult, G. Samorodnitsky
- Mathematics
- 5 February 2007

A random vector X with representation X = Sigma(j >= 0)A(j)Z(j) is considered. Here, (Z(j)) is a sequence of independent and identically distributed random vectors and (A(j)) is a sequence of random… Expand

Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models

- David Heath, S. Resnick, G. Samorodnitsky
- Computer ScienceMath. Oper. Res.
- 1998

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