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1

Uniform estimates for the finite-time ruin probability in the dependent renewal risk model

Yang Yang, Remigijus Leipus, Jonas Šiaulys, Yuquan Cang

Journal:

Journal of Mathematical Analysis and Applications

Year:

2011

Language:

english

File:

PDF, 187 KB

english, 2011

2

Modelling Long-memory Time Series with Finite or Infinite Variance: a General Approach

Remigijus Leipus, Marie-Claude Viano

Journal:

Journal of Time Series Analysis

Year:

2000

Language:

english

File:

PDF, 211 KB

english, 2000

3

On the ruin probability in a dependent discrete time risk model with insurance and financial risks

Yang Yang, Remigijus Leipus, Jonas Šiaulys

Journal:

Journal of Computational and Applied Mathematics

Year:

2012

Language:

english

File:

PDF, 242 KB

english, 2012

4

Tail Behavior of Sums and Maxima of Sums of Dependent Subexponential Random Variables

Yang Yang, Kaiyong Wang, Remigijus Leipus, Jonas Šiaulys

Journal:

Acta Applicandae Mathematicae

Year:

2011

Language:

english

File:

PDF, 488 KB

english, 2011

5

Tail behavior of random sums under consistent variation with applications to the compound renewal risk model

Aldona Aleškevičienė, Remigijus Leipus, Jonas Šiaulys

Journal:

Year:

2008

Language:

english

File:

PDF, 399 KB

english, 2008

6

On a closure property of convolution equivalent class of distributions

Leipus, Remigijus, Å iaulys, Jonas

Journal:

Journal of Mathematical Analysis and Applications

Year:

2020

File:

PDF, 439 KB

2020

7

Asymptotic behaviour of the finite-time ruin probability in renewal risk models

Remigijus Leipus, Jonas Šiaulys

Journal:

Applied Stochastic Models in Business and Industry

Year:

2009

Language:

english

File:

PDF, 125 KB

english, 2009

8

The change-point problem for dependent observations

Liudas Giraitis, Remigijus Leipus, Donatas Surgailis

Journal:

Journal of Statistical Planning and Inference

Year:

1996

Language:

english

File:

PDF, 597 KB

english, 1996

9

Corrigendum to “Rescaled variance and related tests for long memory in volatility and levels”: [J. Econom. 112 (2003) 265–294]

Liudas Giraitis, Piotr Kokoszka, Remigijus Leipus, Gilles Teyssière

Journal:

Journal of Econometrics

Year:

2005

Language:

english

File:

PDF, 153 KB

english, 2005

10

Renewal regime switching and stable limit laws

Remigijus Leipus, Vygantas Paulauskas, Donatas Surgailis

Journal:

Journal of Econometrics

Year:

2005

Language:

english

File:

PDF, 344 KB

english, 2005

11

Orthogonal series density estimation in a disaggregation scheme

Remigijus Leipus, George Oppenheim, Anne Philippe, Marie-Claude Viano

Journal:

Journal of Statistical Planning and Inference

Year:

2006

Language:

english

File:

PDF, 453 KB

english, 2006

12

Precise large deviation results for the total claim amount under subexponential claim sizes

Aleksandras Baltrūnas, Remigijus Leipus, Jonas Šiaulys

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 284 KB

english, 2008

13

Local precise large deviations for sums of random variables with -regularly varying densities

Yang Yang, Remigijus Leipus, Jonas Šiaulys

Journal:

Statistics & Probability Letters

Year:

2010

Language:

english

File:

PDF, 310 KB

english, 2010

14

Long memory and stochastic trend

Remigijus Leipus, Marie-Claude Viano

Journal:

Statistics & Probability Letters

Year:

2003

Language:

english

File:

PDF, 192 KB

english, 2003

15

Rescaled variance and related tests for long memory in volatility and levels

Liudas Giraitis, Piotr Kokoszka, Remigijus Leipus, Gilles Teyssière

Journal:

Journal of Econometrics

Year:

2003

Language:

english

File:

PDF, 406 KB

english, 2003

16

Stability of random coefficient ARCH models and aggregation schemes

Vytautas Kazakevičius, Remigijus Leipus, Marie-Claude Viano

Journal:

Journal of Econometrics

Year:

2004

Language:

english

File:

PDF, 336 KB

english, 2004

17

Finite-horizon ruin probability asymptotics in the compound discrete-time risk model

Remigijus Leipus, Jonas Šiaulys

Journal:

Lithuanian Mathematical Journal

Year:

2011

Language:

english

File:

PDF, 181 KB

english, 2011

18

Effect of aggregation on estimators in AR(1) sequence

Lajos Horváth, Remigijus Leipus

Journal:

Year:

2009

Language:

english

File:

PDF, 458 KB

english, 2009

19

Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes

Remigijus Leipus, Jonas Šiaulys

Journal:

Insurance: Mathematics and Economics

Year:

2007

Language:

english

File:

PDF, 271 KB

english, 2007

20

Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity

Liudas Giraitis, Piotr Kokoszka, Remigijus Leipus, Gilles Teyssière

Journal:

Statistical Inference for Stochastic Processes

Year:

2000

Language:

english

File:

PDF, 88 KB

english, 2000

21

Change-point in the mean of dependent observations

Piotr Kokoszka, Remigijus Leipus

Journal:

Statistics & Probability Letters

Year:

1998

Language:

english

File:

PDF, 328 KB

english, 1998

22

Asymptotics of random sums of negatively dependent random variables in the presence of dominatedly varying tails

Yang, Yang, Leipus, Remigijus, Šiaulys, Jonas

Journal:

Lithuanian Mathematical Journal

Year:

2012

Language:

english

File:

PDF, 156 KB

english, 2012

23

Precise large deviations for compound random sums in the presence of dependence structures

Yang Yang, Remigijus Leipus, Jonas Šiaulys

Journal:

Computers & Mathematics with Applications

Year:

2012

Language:

english

File:

PDF, 258 KB

english, 2012

24

Tail probability of randomly weighted sums of subexponential random variables under a dependence structure

Yang Yang, Remigijus Leipus, Jonas Šiaulys

Journal:

Statistics & Probability Letters

Year:

2012

Language:

english

File:

PDF, 238 KB

english, 2012

25

Asymptotics of partial sums of linear processes with changing memory parameter*

Remigijus Leipus, Donatas Surgailis

Journal:

Lithuanian Mathematical Journal

Year:

2013

Language:

english

File:

PDF, 243 KB

english, 2013

26

Asymptotic normality of the mixture density estimator in a disaggregation scheme

Celov, Dmitrij, Leipus, Remigijus, Philippe, Anne

Journal:

Journal of Nonparametric Statistics

Year:

2010

Language:

english

File:

PDF, 445 KB

english, 2010

27

Closure of some heavy-tailed distribution classes under random convolution*

Leipus, Remigijus, Å iaulys, Jonas

Journal:

Lithuanian Mathematical Journal

Year:

2012

Language:

english

File:

PDF, 156 KB

english, 2012

28

Closure property and maximum of randomly weighted sums with heavy-tailed increments

Yang, Yang, Leipus, Remigijus, Šiaulys, Jonas

Journal:

Statistics & Probability Letters

Year:

2014

Language:

english

File:

PDF, 385 KB

english, 2014

29

Random Coefficient Autoregression, Regime Switching and Long Memory

Remigijus Leipus and Donatas Surgailis

Journal:

Advances in Applied Probability

Year:

2003

Language:

english

File:

PDF, 1.26 MB

english, 2003

30

Stationary ARCH Models: Dependence Structure and Central Limit Theorem

Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus

Journal:

Econometric Theory

Year:

2000

Language:

english

File:

PDF, 1.53 MB

english, 2000

31

Asymptotics for randomly weighted and stopped dependent sums

Yang, Yang, Leipus, Remigijus, Šiaulys, Jonas

Journal:

Stochastics An International Journal of Probability and Stochastic Processes

Year:

2015

Language:

english

File:

PDF, 499 KB

english, 2015

32

Testing for Long Memory in the Presence of a General Trend

Liudas Giraitis, Piotr Kokoszka and Remigijus Leipus

Journal:

Journal of Applied Probability

Year:

2001

Language:

english

File:

PDF, 1.22 MB

english, 2001

33

On Long-Range Dependence in Regenerative Processes Based on a General On/Off Scheme

Remigijus Leipus and Donatas Surgailis

Journal:

Journal of Applied Probability

Year:

2007

Language:

english

File:

PDF, 789 KB

english, 2007

34

A New Theorem on the Existence of Invariant Distributions with Applications to Arch Processes

Vytautas Kazakevičius and Remigijus Leipus

Journal:

Journal of Applied Probability

Year:

2003

Language:

english

File:

PDF, 1.19 MB

english, 2003

35

Change-Point Estimation in ARCH Models

Piotr Kokoszka and Remigijus Leipus

Journal:

Year:

2000

Language:

english

File:

PDF, 1.68 MB

english, 2000

36

STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

Giraitis, Liudas, Kokoszka, Piotr, Leipus, Remigijus

Journal:

Econometric Theory

Year:

2000

Language:

english

File:

PDF, 141 KB

english, 2000

37

DETECTION OF NONCONSTANT LONG MEMORY PARAMETER

Lavancier, Frédéric, Leipus, Remigijus, Philippe, Anne, Surgailis, Donatas

Journal:

Econometric Theory

Year:

2013

Language:

english

File:

PDF, 567 KB

english, 2013

38

AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS

Giraitis, Liudas, Leipus, Remigijus, Surgailis, Donatas

Journal:

Econometric Theory

Year:

2010

Language:

english

File:

PDF, 168 KB

english, 2010

39

ON STATIONARITY IN THE ARCH(???) MODEL

Kazakevi??ius, Vytautas, Leipus, Remigijus

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 116 KB

english, 2002

40

A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS

Giraitis, Liudas, Leipus, Remigijus, Philippe, Anne

Journal:

Econometric Theory

Year:

2006

Language:

english

File:

PDF, 593 KB

english, 2006

41

Weak max-sum equivalence for dependent heavy-tailed random variables

Dindienė, Lina, Leipus, Remigijus

Journal:

Lithuanian Mathematical Journal

Year:

2016

Language:

english

File:

PDF, 252 KB

english, 2016

42

On a Random-Coefficient AR(1) Process with Heavy-Tailed Renewal Switching Coefficient and Heavy-Tailed Noise

Remigijus Leipus, Vygantas Paulauskas and Donatas Surgailis

Journal:

Journal of Applied Probability

Year:

2006

Language:

english

File:

PDF, 1.49 MB

english, 2006

43

A Test for Stationarity versus Trends and Unit Roots for a Wide Class of Dependent Errors

Liudas Giraitis, Remigijus Leipus and Anne Philippe

Journal:

Econometric Theory

Year:

2006

Language:

english

File:

PDF, 3.33 MB

english, 2006

44

On Stationarity in the ARCH(∞) Model

Vytautas Kazakevičius and Remigijus Leipus

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 1.21 MB

english, 2002

45

A new theorem on the existence of invariant distributions with applications to ARCH processes

Kazakevičius, Vytautas, Leipus, Remigijus

Journal:

Journal of Applied Probability

Year:

2003

Language:

english

File:

PDF, 161 KB

english, 2003

46

Testing for long memory in the presence of a general trend

Giraitis, Liudas, Kokoszka, Piotr, Leipus, Remigijus

Journal:

Journal of Applied Probability

Year:

2001

Language:

english

File:

PDF, 201 KB

english, 2001

47

Random coefficient autoregression, regime switching and long memory

Leipus, Remigijus, Surgailis, Donatas

Journal:

Advances in Applied Probability

Year:

2003

Language:

english

File:

PDF, 183 KB

english, 2003

48

On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise

Leipus, Remigijus, Paulauskas, Vygantas, Surgailis, Donatas

Journal:

Journal of Applied Probability

Year:

2006

Language:

english

File:

PDF, 201 KB

english, 2006

49

Tails of higher-order moments with dominatedly varying summands∗

Leipus, Remigijus, Šiaulys, Jonas, IevaVareikaitė,

Journal:

Lithuanian Mathematical Journal

Year:

2019

Language:

english

File:

PDF, 393 KB

english, 2019

50

12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics

Leipus, Remigijus

Journal:

Year:

2018

Language:

english

File:

PDF, 598 KB

english, 2018

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