approximations of multidimensional stable laws autoregressive models random

Approximations of multidimensional stable laws

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approximations of multidimensional stable laws; autoregressive models; random fields; tail index estimation. [email protected] A.Plikusas Research areas: S ampling in official statistics; regression ratio estimators [email protected] A. Skučaitė Research areas: actuarial mathematics, stochastic modeling of insurance processes [email protected] D. Surgailis Research areas: Long memory; fractional integration; self-similar processes; financial mathematics [email protected] R. Zovė (PhD student) Reasearch areas: Autoregressive random fields. [email protected] DOCTORAL THESES 1. Jurgis Navikas . Runge--Kutta-type methods for multidimensional stochastic differential equations. Advisor prof. V. Mackevičius. 2. Andrius Klivečka. The GARCH(1,1) model with random or time-varying coefficients. Advisor prof. D. Surgailis. PUBLICATIONS: Articles: Journals with ISI Science Citation Index 1. Baltrūnas, R. Leipus, J. Šiaulys . Precise large deviation results for the total claim amount under subexponential claim sizes // Statistics & probability letters. 2008, vol. 78, no. 10, p. 1206-1214. (VU+MII). 2. V. Paulauskas, D. Surgailis. On the rate of approximation in limit theorems for sums of moving averages. Th. Probab. Appl., 52 (2008), 361-370. Articles: International reviewed journals, books, and ISI proceedings 1. Y. Davydov, V. Paulauskas . On estimation of parameters for spatial autoregressive model // Statistical inference for stochastic processes. - ISSN 1387-0874. - 2008, vol. 11, no. 3, p. 237-247. - URL: (VU+MII) 2. A. Aleškevičienė, R. Leipus, J. Šiaulys. Tail behavior of random sums under consistent variation with applications to the compound renewal risk model // Extremes. 2008, vol. 11, no 3, p. 261-279. (VU+MII) Articles: Lithuanian licensed journals 1. M. J. Mikalauskas . Kolmogorovo uždavinys Markovo grandinėms // Lietuvos matematikos rinkinys. - ISSN 0132-2818. - 2008, t. 48-49, p. 407-411. (VU).
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