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Browsing by Author "Samorodnitsky, Gennady"
Now showing items 1433 of 48

Fractional moments of solutions to stochastic recurrence equations
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh (20120313)In this paper we study the fractional moments of the stationary solution to a stochastic recursion. We derive recursive formulas for the fractional moments of the solution. Special attention is given to the case when the ... 
Functionindexed empirical processes based on an infinite source Poisson transmission stream
Roueff, Francois; Samorodnitsky, Gennady; Soulier, Philippe (20100408)We study the asymptotic behavior of empirical processes generated by measurable bounded functions of an infinite source Poisson transmission process when the session length have infinite variance. In spite of the ... 
Functional central limit theorem for negatively dependent heavytailed stationary infinitely divisible processes generated by conservative flows
Jung, Paul; Owada, Takashi; Samorodnitsky, Gennady (20150406)We prove a functional central limit theorem for partial sums of symmetric stationary long range dependent heavy tailed infinitely divisible processes with a certain type of negative dependence. Previously only positive ... 
Functional Central Limit Theorem for Heavy Tailed Stationary Infinitely Divisible Processes Generated by Conservative Flows
Owada, Takashi; Samorodnitsky, Gennady (20120918)We establish a new class of functional central limit theorems for partial sum of certain symmetric stationary infinitely divisible processes with regularly varying Levy measures. The limit process is a new class of symmetric ... 
General inverse problems for regular variation
Damek, Ewa; Mikosch, Thomas; Rosinski, Jan; Samorodnitsky, Gennady (20131002)Regular variation of distributional tails is known to be preserved by various linear transformations of some random structures. An inverse problem for regular variation aims at understanding whether the regular ... 
High level excursion set geometry for nonGaussian infinitely divisible random fields
Adler, Robert; Samorodnitsky, Gennady; Taylor, Jonathan (20090804)We consider smooth, infinitely divisible random fields with regularly varying Levy measure, and are interested in the geometric characteristics of the excursion sets over high levels u. For a large class of such ... 
How Fast Can the ChordLength Distribution Decay?
Demichel, Yann; Estrade, Anne; Kratz, Marie; Samorodnitsky, Gennady (20090921)The modelling of random biphasic, or porous, media has been, and still is, under active investigation by mathematicians, physicists or physicians. In this paper we consider a thresholded random process X as a source of ... 
Intrinsic location functionals of stationary processes
Samorodnitsky, Gennady; Shen, Yi (20120621)We consider a large family of measurable functionals of the sample path of a stochastic process over compact intervals (including first hitting times, leftmost location of the supremum, etc.) we call intrinsic ... 
Is the location of the supremum of a stationary process nearly uniformly distributed?'
Samorodnitsky, Gennady; Shen, Yi (20111007)It is, perhaps, surprising that the location of the unique supremum of a stationary process on an interval can fail to be uniformly distributed over that interval. We show that this distribution is absolutely continuous ... 
A large deviation principle for Minkowski sums of heavytailed random compact convex sets with finite expectation
Mikosch, Thomas; Pawlas, Zbynek; Samorodnitsky, Gennady (20100816)We prove large deviation results for Minkowski sums of iid random compact sets where we assume that the summands have a regularly varying distribution and finite expectation. The main focus is on random convex compact ... 
Large deviations for Minkowski sums of heavytailed generally nonconvex random compact sets
Mikosch, Thomas; Pawlas, Zbynek; Samorodnitsky, Gennady (20100816)We prove large deviation results for Minkowski sums of iid random compact sets where we assume that the summands have a regularly varying distribution. The result confirms the heavytailed large deviation heuristics: ... 
Large deviations for point processes based on stationary sequences with heavy tails
Hult, Henrik; Samorodnitsky, Gennady (20090804)In this paper we propose a framework that enables the study of large deviations for point processes based on stationary sequences with regularly varying tails. This framework allows us to keep track not of the magnitude ... 
Modeling EndUser Behavior In Data Networks
Lopez Oliveros, Luis (20110831)A session is a cluster of packets that represents enduser activity in data networks, e.g. surfing the web, transferring files, streaming media, Internetcalling. We study three problems of sessions. The first problem ... 
Models For Projectile Impact Into Hybrid MultiLayer Armor Systems With Axisymmetric Or Biaxial Layers With Gaps
Li, Wei (20110529)Analytical and numerical modeling of fibrous material resistance to penetration under impact by highvelocity projectiles has been of great interest not only for personnel protection reasons but also because trialanderror ... 
Moderate Deviations And Exact Asymptotics In Channel Coding
Altug, Yucel (20130819)Investigation of the data rate, blocklength and error probability interplay for the optimum block code(s) on a discrete memoryless channel is a fundamental problem of information theory. Because of the intricacy of the ... 
Multivariate Subexponential Distributions and Their Applications
Samorodnitsky, Gennady; Sun, Julian (20150916)We propose a new definition of a multivariate subexponential distribution. We compare this definition with the two existing notions of multivariate subexponentiality, and compute the asymptotic behaviour of the ruin ... 
Multivariate tail measure and the estimation of CoVar
Nguyen, Tilo; Samorodnitsky, Gennady (20121009)The quality of estimation of multivariate tails depends significantly on the portion of the sample included in the estimation. A simple approach involving sequential statistical testing is proposed in order to select ... 
Nonstandard regular variation of the indegree and the outdegree in the preferential attachement model
Samorodnitsky, Gennady; Resnick, Sidney; Towsley, Don; Davis, Richard; Willis, Amy; Wan, Phyllis (20140625)For the directed edge preferential attachment network growth model studied by Bollobas et al. (2003) and Krapivsky and Redner (2001), we prove that the joint distribution of indegree and outdegree has jointly ... 
Novel Uncertainty Quantification Techniques For Problems Described By Stochastic Partial Differential Equations
Chen, Peng (20140818)Uncertainty propagation (UP) in physical systems governed by PDEs is a challenging problem. This thesis addresses the development of a number of innovative techniques that emphasize the need for highdimensionality modeling, ... 
On the existence of paths between points in high level excursion sets of Gaussian random fields
Adler, Robert; Moldavskaya, Elina; Samorodnitsky, Gennady (20120327)The structure of Gaussian random fields over high levels is a well researched and well understood area, particularly if the field is smooth. However, the question as to whether or not two or more points which lie in ...