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Technical Reports
Danielsson, J., N. Jorgensen, B., Sarma, M.,
Samorodnitsky, G. and de Vries, C.G. ``Subadditivity Reexamined: the
case for Value--at--Risk''pdf file
Alparslan, T. and Samorodnitsky, G. "Ruin Probability with Certain
Stationary Stable Claims Generated by Conservative Flows"pdf file
Alparslan, T. and Samorodnitsky, G. "Asymptotic Analysis of
Exceedance Probability with Stationary Stable Steps Generated by
Dissipative Flows
pdf file
Hult, H. and Samorodnitsky, G. ``Tail probabilities for
infinite series of regularly varying random vectors''
pdf file
Samorodnitsky, G. "Long range dependence"pdf
file
Ghosh, S. and Samorodnitsky, G. ``The effect of memory on
functional large deviations of infinite moving average processes'' pdf
file
Jacobsen, M., Mikosch, T., Rosinski, J. and Samorodnitsky,
G. ``Inverse problems for regular variation of linear filters, a
cancellation property for $\sigma$-finite measures, and
identification of stable laws'' pdf
file
Adler, R., Samorodnitsky, G. and Taylor, J. ``Excursion sets of
stable random fields''pdf
file
Fasen, V. and Samorodnitsky, G. ``The workload process with a
Poisson cluster input can look like a Fractional Brownian motion
even in the slow growth regime'' pdf
file
Grabchak, M. and Samorodnitsky, G. ``Do financial
returns have finite or infinite variance? A paradox and an
explanation'' pdf
file
Can, U.S., Mikosch, T. and Samorodnitsky, G. ``Weak
convergence of the function-indexed
integrated periodogram for infinite variance processes'' pdf
file
Chakrabarty, A. and Samorodnitsky, G. ``Understanding heavy tails in a
bounded world or, is a truncated heavy tail heavy or not?'' pdf
file
Hult, H. and Samorodnitsky, G. ``Large
deviations for point processes based on stationary sequences with heavy
tails'' pdf
file
Jessen, A., Mikosch, T. and Samorodnitsky, G. ``Prediction of outstanding
payments in a Poisson cluster model'' pdf
file
Adler, R., Samorodnitsky, G. and Taylor, J. ``High level excursion set
geometry for non-Gaussian infinitely divisible random fields'' pdf
file
Demichel, Y., Estrade, A., Kratz, M. and Samorodnitsky, G. ``How
Fast Can the Chord-Length Distribution Decay?' pdf
file
Last revised: 08/04/2009
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