A. Samorodnitsky: search on Z-Library

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1

Fat tails, VaR and subadditivity

Daníelsson, Jón, Jorgensen, Bjørn N., Samorodnitsky, Gennady, Sarma, Mandira, de Vries, Casper G.

Journal:

Journal of Econometrics

Year:

2013

Language:

english

File:

PDF, 374 KB

english, 2013

2

Existence of joint moments of stable random variables

Gennady Samorodnitsky, Murad S. Taqqu

Journal:

Statistics & Probability Letters

Year:

1990

Language:

english

File:

PDF, 339 KB

english, 1990

3

Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems

Reuven Y. Rubinstein, Gennady Samorodnitsky and Moshe Shaked

Journal:

Management Science

Year:

1985

Language:

english

File:

PDF, 1.22 MB

english, 1985

4

Extreme Value Theory as a Risk Management Tool

Embrechts, Paul, Resnick, Sidney I., Samorodnitsky, Gennady

Journal:

North American Actuarial Journal

Year:

1999

Language:

english

File:

PDF, 224 KB

english, 1999

5

Multivariate extremes, aggregation and risk estimation

Hauksson, H.A., Dacorogna, M., Domenig, T., Mller, U., Samorodnitsky, G.

Journal:

Quantitative Finance

Year:

2001

Language:

english

File:

PDF, 228 KB

english, 2001

6

Antithetic Variates, Multivariate Dependence and Simulation of Stochastic Systems

Rubinstein, Reuven Y., Samorodnitsky, Gennady, Shaked, Moshe

Journal:

Management Science

Year:

1985

Language:

english

File:

PDF, 703 KB

english, 1985

7

An Upper Bound on $\ell_q$ Norms of Noisy Functions

Samorodnitsky, Alex

Journal:

IEEE Transactions on Information Theory

Year:

2020

Language:

english

File:

PDF, 1.71 MB

english, 2020

8

Long strange segments in a long-range-dependent moving average

Svetlozar T. Rachev, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

2001

Language:

english

File:

PDF, 229 KB

english, 2001

9

An approximation algorithm for counting contingency tables

Alexander Barvinok, Zur Luria, Alex Samorodnitsky, Alexander Yong

Journal:

Random Structures & Algorithms

Year:

2010

Language:

english

File:

PDF, 287 KB

english, 2010

10

The distance approach to approximate combinatorial counting

A. Barvinok, A. Samorodnitsky

Journal:

Geometric And Functional Analysis

Year:

2001

Language:

english

File:

PDF, 308 KB

english, 2001

11

Testing Monotonicity

Oded Goldreich, Shafi Goldwasser, Eric Lehman, Dana Ron, Alex Samorodnitsky

Journal:

Year:

2000

Language:

english

File:

PDF, 477 KB

english, 2000

12

Modeling teletraffic arrivals by a Poisson cluster process

Gilles Faÿ, Bárbara González-Arévalo, Thomas Mikosch, Gennady Samorodnitsky

Journal:

Queueing Systems

Year:

2006

Language:

english

File:

PDF, 519 KB

english, 2006

13

Subexponentiality of the product of independent random variables

D.B.H. Cline, G. Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

1994

Language:

english

File:

PDF, 1.21 MB

english, 1994

14

Sample quantiles of heavy tailed stochastic processes

Paul Embrechts, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

1995

Language:

english

File:

PDF, 713 KB

english, 1995

15

Point processes associated with stationary stable processes

Sidney Resnick, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

2004

Language:

english

File:

PDF, 303 KB

english, 2004

16

Long strange segments, ruin probabilities and the effect of memory on moving average processes

Souvik Ghosh, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

2010

Language:

english

File:

PDF, 333 KB

english, 2010

17

Erratum to “Long strange segments in a long-range-dependent moving average” [Stochastic Process. Appl. 93 (2001) 119–148]

Svetlozar T Rachev, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 31 KB

english, 2002

18

Tails of Le´vy Measure of Geometric Stable Random Variables

Tomasz J. Kozubowski, Krzysztof Podgo´rski, Gennady Samorodnitsky

Journal:

Year:

1999

Language:

english

File:

PDF, 98 KB

english, 1999

19

A Modified Version of Handscomb’s Antithetic Variates Theorem

Rubinstein, Y. R., Samorodnitsky, G.

Journal:

SIAM Journal on Scientific and Statistical Computing

Year:

1987

Language:

english

File:

PDF, 1.13 MB

english, 1987

20

Performance Decay in a Single Server Exponential Queueing Model with Long Range Dependence

Sidney Resnick and Gennady Samorodnitsky

Journal:

Operations Research

Year:

1997

Language:

english

File:

PDF, 1.19 MB

english, 1997

21

Super Fractional Brownian Motion, Fractional Super Brownian Motion and Related Self-Similar (Super) Processes

Robert J. Adler and Gennady Samorodnitsky

Journal:

The Annals of Probability

Year:

1995

Language:

english

File:

PDF, 1.51 MB

english, 1995

22

Stable Fractal Sums of Pulses: The Cylindrical Case

Renata Cioczek-Georges, Benoit B. Mandelbrot, Gennady Samorodnitsky and Murad S. Taqqu

Journal:

Year:

1995

Language:

english

File:

PDF, 1.63 MB

english, 1995

23

Tail inference: where does the tail begin?

Tilo Nguyen,Gennady Samorodnitsky

Journal:

Year:

2012

Language:

english

File:

PDF, 560 KB

english, 2012

24

Random series and stochastic integrals:single and multiple

Samorodnitsky, Gennady

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

1994

Language:

english

File:

PDF, 222 KB

english, 1994

25

Reliability of dynamic systems in random environment by extreme value theory

Grigoriu, M., Samorodnitsky, G.

Journal:

Probabilistic Engineering Mechanics

Year:

2014

Language:

english

File:

PDF, 1.40 MB

english, 2014

26

Do financial returns have finite or infinite variance? A paradox and an explanation

Grabchak, Michael, Samorodnitsky, Gennady

Journal:

Quantitative Finance

Year:

2010

Language:

english

File:

PDF, 1.06 MB

english, 2010

27

Fractional moments of solutions to stochastic recurrence equations

Mikosch, Thomas, Samorodnitsky, Gennady, Tafakori, Laleh

Journal:

Journal of Applied Probability

Year:

2013

Language:

english

File:

PDF, 179 KB

english, 2013

28

Nonlinear Regression of Stable Random Variables

Clyde D. Hardin Jr, Gennady Samorodnitsky and Murad S. Taqqu

Journal:

The Annals of Applied Probability

Year:

1991

Language:

english

File:

PDF, 2.09 MB

english, 1991

29

Long Strange Segments of a Stochastic Process

Peter Mansfield, Svetlozar T. Rachev and Gennady Samorodnitsky

Journal:

The Annals of Applied Probability

Year:

2001

Language:

english

File:

PDF, 3.06 MB

english, 2001

30

Multivariate subexponential distributions and their applications

Samorodnitsky, Gennady, Sun, Julian

Journal:

Year:

2016

Language:

english

File:

PDF, 418 KB

english, 2016

31

A Heavy Traffic Approximation for Workload Processes with Heavy Tailed Service Requirements

Resnick, Sidney, Samorodnitsky, Gennady

Journal:

Management Science

Year:

2000

Language:

english

File:

PDF, 216 KB

english, 2000

32

Limit Behavior of Fluid Queues and Networks

D’Auria, Bernardo, Samorodnitsky, Gennady

Journal:

Operations Research

Year:

2005

Language:

english

File:

PDF, 251 KB

english, 2005

33

Antimicrobial activity of bovine NK-lysin-derived peptides on Mycoplasma bovis

Dassanayake, Rohana P., Falkenberg, Shollie M., Register, Karen B., Samorodnitsky, Daniel, Nicholson, Eric M., Reinhardt, Timothy A., Browning, Glenn F.

Journal:

Year:

2018

Language:

english

File:

PDF, 18.41 MB

english, 2018

34

Modeling and analysis of uncertain time-critical tasking problems

Donald P. Gaver, Patricia A. Jacobs, Gennady Samorodnitsky, Kevin D. Glazebrook

Journal:

Naval Research Logistics (NRL)

Year:

2006

Language:

english

File:

PDF, 125 KB

english, 2006

35

On the Optimum of Delsarte's Linear Program

Alex Samorodnitsky

Journal:

Journal of Combinatorial Theory, Series A

Year:

2001

Language:

english

File:

PDF, 200 KB

english, 2001

36

Zero-One Laws for Multilinear Forms in Gaussian and Other Infinitely Divisible Random Variables

J. Rosinski, G. Samorodnitsky, M.S. Taqqu

Journal:

Journal of Multivariate Analysis

Year:

1993

File:

PDF, 667 KB

1993

37

(1α)-Self similar α-stable processes with stationary increments

Gennady Samorodnitsky, Murad S. Taqqu

Journal:

Journal of Multivariate Analysis

Year:

1990

Language:

english

File:

PDF, 296 KB

english, 1990

38

Sample path properties of stochastic processes represented as multiple stable integrals

Jan Rosinski, Gennady Samorodnitsky, Murad S Taqqu

Journal:

Journal of Multivariate Analysis

Year:

1991

Language:

english

File:

PDF, 983 KB

english, 1991

39

Possible sample paths of self-similar α-stable processes

Gennady Samorodnitsky

Journal:

Statistics & Probability Letters

Year:

1994

Language:

english

File:

PDF, 282 KB

english, 1994

40

Extrema of skewed stable processes

Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

1988

Language:

english

File:

PDF, 2.02 MB

english, 1988

41

Probability tails of Gaussian extrema

Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

1991

Language:

english

File:

PDF, 1.58 MB

english, 1991

42

Association of infinitely divisible random vectors

Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

1995

Language:

english

File:

PDF, 424 KB

english, 1995

43

Efficiency of the random search method

Y.R. Rubinstein, G. Samorodnitsky

Journal:

Mathematics and Computers in Simulation

Year:

1982

Language:

english

File:

PDF, 746 KB

english, 1982

44

An upper bound for permanents of nonnegative matrices

Alex Samorodnitsky

Journal:

Journal of Combinatorial Theory, Series A

Year:

2008

Language:

english

File:

PDF, 166 KB

english, 2008

45

The effect of memory on functional large deviations of infinite moving average processes

Souvik Ghosh, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

2009

Language:

english

File:

PDF, 1.02 MB

english, 2009

46

Tails of solutions of certain nonlinear stochastic differential equations driven by heavy tailed Lévy motions

G. Samorodnitsky, M. Grigoriu

Journal:

Stochastic Processes and their Applications

Year:

2003

Language:

english

File:

PDF, 286 KB

english, 2003

47

Distribution tails of sample quantiles and subexponentiality

Michael Braverman, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

1998

Language:

english

File:

PDF, 132 KB

english, 1998

48

Symmetric infinitely divisible processes with sample paths in Orlicz spaces and absolute continuity of infinitely divisible processes

Michael Braverman, Gennady Samorodnitsky

Journal:

Stochastic Processes and their Applications

Year:

1998

Language:

english

File:

PDF, 170 KB

english, 1998

49

The distribution of test statistics for outlier detection in heavy-tailed samples

S. Mittnik, S.T. Rachev, G. Samorodnitsky

Journal:

Mathematical and Computer Modelling

Year:

2001

Language:

english

File:

PDF, 838 KB

english, 2001

50

A new perspective on implementation by voting trees

Felix Fischer, Ariel D. Procaccia, Alex Samorodnitsky

Journal:

Random Structures & Algorithms

Year:

2011

Language:

english

File:

PDF, 205 KB

english, 2011