Gennady Samorodnitsky
School of Operations Research and Information Engineering
Technical Reports

  • Samorodnitsky, G. "Long range dependence"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

  • Ghosh, S. and Samorodnitsky, G. "Long strange segments, ruin probabilities and the effect of memory on moving average processes" pdf file

  • Roueff, F., Samorodnitsky, G. and Soulier, P. "Function-indexed empirical processes based on an infinite source Poisson transmission stream" pdf file

  • Mikosch, T., Pawlas, Z. and Samorodnitsky, G. ``A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation''pdf file

  • Mikosch, T., Pawlas, Z. and Samorodnitsky, G. ``Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets''pdf file

  • Peterson, J. and Samorodnitsky, G. ``Weak quenched limiting distributions for transient one-dimensional random walk in a random environment.''pdf file

  • Nguyen, T. and Samorodnitsky, G. ``Tail Inference: where does the tail begin?"pdf file

  • Samorodnitsky, G and Shen, Y. ``Is the location of the supremum of a stationary process nearly uniformly distributed?''pdf file

  • Samorodnitsky, G and Shen, Y. "Distribution of the supremum location of stationary processes"pdf file

  • Peterson, J. and Samorodnitsky, G. ``Weak weak quenched limits for the path-valued processes of hitting times and positions of a transient, one-dimensional random walk in a random environment"pdf file

  • Mikosch, T., Samorodnitsky, G. and Tafakori, L. ``Fractional moments of solutions to stochastic recurrence equations''pdf file

  • Adler, R., Moldavskaya, E. and Samorodnitsky, G. ``On the existence of paths between points in high level excursion sets of Gaussian random fields''pdf file

  • Samorodnitsky, G and Shen, Y. "Intrinsic location functionals of stationary processes"pdf file

  • Owada, T. and Samorodnitsky, G. "Functional Central Limit Theorem for Heavy Tailed Stationary Infinitely Divisible Processes Generated by Conservative Flows"pdf file

  • Nguyen, T. and Samorodnitsky, G. "Multivariate tail estimation with application to analysis of CoVar"pdf file

  • Bladt, M., Nielsen, B.F. and Samorodnitsky, G. "Calculation of ruin probabilities for a dense class of heavy tailed distributions"pdf file

  • Owada, T. and Samorodnitsky, G. "Maxima of long memory stationary symmetric alpha-stable processes, and self-similar processes with stationary max-increments"pdf file

  • Damek, E., Mikosch, T., Rosi\'nski, J. and Samorodnitsky, G. ``General inverse problems for regular variation" pdf file

  • Samorodnitsky, G., Resnick, S., Towsley, D., Davis, R., Willis, A. and Wan, P. ``Nonstandard regular variation of the in-degree and the out-degree in the preferential attachement model''pdf file

  • Resnick, S. and Samorodnitsky, G. ``Tauberian Theory for Multivariate Regularly Varying Distributions with Application to Preferential Attachment Network" pdf file

  • Lacaux, C. and Samorodnitsky, G. ``Time-changed extremal process as a random sup measure'' pdf file

  • Adler, R. and Samorodnitsky, G. "Climbing down Gaussian peaks" pdf file

  • Jung, P., Owada, T. and Samorodnitsky, G. ``Functional central limit theorem for negatively dependent heavy-tailed stationary infinitely divisible processes generated by conservative flows'' pdf file

  • Resnick, S. and Samorodnitsky, G. "Asymptotic Normality of Degree Counts in a Preferential Attachment Model"pdf file

  • Samorodnitsky, G. and Sun, J. "Multivariate Subexponential Distributions and Their Applications"pdf file

  • Dong, Y. and Samorodnitsky, G "Contact distribution in a thinned Boolean model with power law radii"pdf file

  • Chakrabarty, A. and Samorodnitsky, G "Asymptotic behaviour of Gaussian minima"pdf file

  • Glavas, L., Mladenovic, P. and Samorodnitsky, G "Extreme values of the uniform autoregressive processes and missing observations"pdf file

  • Constantinescu, C., Samorodnitsky, G. and Zhu, W. "Closed-form Ruin Probabilities in Classical Risk Models with Gamma Claims"pdf file

  • Matsui, M., Mikosch, T. and Samorodnitsky, G. "Distance covariance for stochastic processes"pdf file

  • Samorodnitsky, G. and Wang, Y. "Extremal theory for long-range dependent infinitely divisible processes"pdf file

  • Zou, J., Davis, R. and Samorodnitsky, G. "Extreme value analysis without the largest values: what can be done?"pdf file

  • Sun, J. and Samorodnitsky, G. "Estimating the extremal index, or, can one avoid the threshold-selection difficulty in extremal Inference?"pdf file

  • Durieu, O., Samorodnitsky, G. and Wang, Y.``From infinite urn schemes to self-similar stable processes""pdf file

    Last revised: 04/11/2017

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