Damek, Ewa; Mikosch, Thomas; Zhao, Yuwei; Zienkiewicz, Jacek Whittle estimation based on the extremal spectral density of a heavy-tailed random field. (English) Zbl 1504.60083 Stochastic Processes Appl. 155, 232-267 (2023). MSC: 60G70 62M40 60G10 60F05 62G32 60G60 PDFBibTeX XMLCite \textit{E. Damek} et al., Stochastic Processes Appl. 155, 232--267 (2023; Zbl 1504.60083) Full Text: DOI arXiv
Matsui, Muneya; Mikosch, Thomas; Roozegar, Rasool; Tafakori, Laleh Distance covariance for random fields. (English) Zbl 1493.62069 Stochastic Processes Appl. 150, 280-322 (2022). MSC: 62E20 62G20 62M40 60F05 60F25 PDFBibTeX XMLCite \textit{M. Matsui} et al., Stochastic Processes Appl. 150, 280--322 (2022; Zbl 1493.62069) Full Text: DOI arXiv
Heiny, Johannes; Mikosch, Thomas The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. (English) Zbl 1430.62195 Bernoulli 25, No. 4B, 3590-3622 (2019). Reviewer: Denis Sidorov (Irkutsk) MSC: 62M10 62H12 60B20 60G55 60F05 60G70 62P05 PDFBibTeX XMLCite \textit{J. Heiny} and \textit{T. Mikosch}, Bernoulli 25, No. 4B, 3590--3622 (2019; Zbl 1430.62195) Full Text: DOI arXiv Euclid
Mikosch, Thomas; Zhao, Yuwei The integrated periodogram of a dependent extremal event sequence. (English) Zbl 1316.60081 Stochastic Processes Appl. 125, No. 8, 3126-3169 (2015). MSC: 60G70 60F17 60F05 60G15 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{Y. Zhao}, Stochastic Processes Appl. 125, No. 8, 3126--3169 (2015; Zbl 1316.60081) Full Text: DOI arXiv
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady Weak convergence of the function-indexed integrated periodogram for infinite variance processes. (English) Zbl 1207.62173 Bernoulli 16, No. 4, 995-1015 (2010). MSC: 62M15 60F05 62G30 PDFBibTeX XMLCite \textit{S. U. Can} et al., Bernoulli 16, No. 4, 995--1015 (2010; Zbl 1207.62173) Full Text: DOI arXiv
Mikosch, Thomas; Stărică, Cătălin Changes of structure in financial time series and the GARCH model. (English) Zbl 1132.62352 REVSTAT 2, No. 1, 41-73 (2004). MSC: 62M15 60F17 62P05 62G10 65C05 62M10 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{C. Stărică}, REVSTAT 2, No. 1, 41--73 (2004; Zbl 1132.62352)
Kokoszka, P.; Mikosch, T. The periodogram at the Fourier frequencies. (English) Zbl 1025.62030 Stochastic Processes Appl. 86, No. 1, 49-79 (2000). Reviewer: Ivan Křivý (Ostrava) MSC: 62M15 60E07 60F05 PDFBibTeX XMLCite \textit{P. Kokoszka} and \textit{T. Mikosch}, Stochastic Processes Appl. 86, No. 1, 49--79 (2000; Zbl 1025.62030) Full Text: DOI
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady The maximum of the periodogram for a heavy-tailed sequence. (English) Zbl 1044.62097 Ann. Probab. 28, No. 2, 885-908 (2000). MSC: 62M15 62G32 60F05 PDFBibTeX XMLCite \textit{T. Mikosch} et al., Ann. Probab. 28, No. 2, 885--908 (2000; Zbl 1044.62097) Full Text: DOI
Davis, Richard A.; Mikosch, Thomas The maximum of the periodogram of a non-Gaussian sequence. (English) Zbl 1073.62556 Ann. Probab. 27, No. 1, 522-536 (1999). MSC: 62M15 60F05 60G55 60G70 PDFBibTeX XMLCite \textit{R. A. Davis} and \textit{T. Mikosch}, Ann. Probab. 27, No. 1, 522--536 (1999; Zbl 1073.62556) Full Text: DOI
Mikosch, T.; Norvaiša, R. Uniform convergence of the empirical spectral distribution function. (English) Zbl 0913.60032 Stochastic Processes Appl. 70, No. 1, 85-114 (1997). Reviewer: G.Dohnal (Praha) MSC: 60F17 62G30 60F15 60G10 60B11 62M15 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{R. Norvaiša}, Stochastic Processes Appl. 70, No. 1, 85--114 (1997; Zbl 0913.60032) Full Text: DOI
Kokoszka, P.; Mikosch, T. The integrated periodogram for long-memory processes with finite or infinite variance. (English) Zbl 0885.62108 Stochastic Processes Appl. 66, No. 1, 55-78 (1997). Reviewer: G.Dohnal (Praha) MSC: 62M15 60F17 62M10 62G10 PDFBibTeX XMLCite \textit{P. Kokoszka} and \textit{T. Mikosch}, Stochastic Processes Appl. 66, No. 1, 55--78 (1997; Zbl 0885.62108) Full Text: DOI
Klüppelberg, Claudia; Mikosch, Thomas Gaussian limit fields for the integrated periodogram. (English) Zbl 0866.60030 Ann. Appl. Probab. 6, No. 3, 969-991 (1996). Reviewer: A.R.Dabrowski (Ottawa) MSC: 60F17 60G60 60G10 62M15 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{T. Mikosch}, Ann. Appl. Probab. 6, No. 3, 969--991 (1996; Zbl 0866.60030) Full Text: DOI
Klüppelberg, Claudia; Mikosch, Thomas The integrated periodogram for stable processes. (English) Zbl 0898.62116 Ann. Stat. 24, No. 5, 1855-1879 (1996). MSC: 62M15 60F17 62G07 62M10 62G10 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{T. Mikosch}, Ann. Stat. 24, No. 5, 1855--1879 (1996; Zbl 0898.62116) Full Text: DOI
Klüppelberg, Claudia; Mikosch, Thomas Spectral estimates and stable processes. (English) Zbl 0779.60023 Stochastic Processes Appl. 47, No. 2, 323-344 (1993). MSC: 60F05 62M15 62E20 60G10 PDFBibTeX XMLCite \textit{C. Klüppelberg} and \textit{T. Mikosch}, Stochastic Processes Appl. 47, No. 2, 323--344 (1993; Zbl 0779.60023) Full Text: DOI