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We review the current state of statistical modeling of asymptotically independent data. Our discussion includes necessary and sufficient conditions for asymptotic independence, results on the asymptotic independence of statistics of interest, estimation an ...
The thesis is a contribution to extreme-value statistics, more precisely to the estimation of clustering characteristics of extreme values. One summary measure of the tendency to form groups is the inverse average cluster size. In extreme-value context, th ...
A major challenge in sparsity pattern estimation is that small modes are difficult to detect in the presence of noise. This problem is alleviated if one can observe samples from multiple realizations of the nonzero values for the same sparsity pattern. We ...
We consider the problem of estimating sparse communication channels in the MIMO context. In small to medium bandwidth communications, as in the current standards for OFDM and CDMA communication systems (with bandwidth up to 20 MHz), such channels are indiv ...
Model specification is an integral part of any statistical inference problem. Several model selection techniques have been developed in order to determine which model is the best one among a list of possible candidates. Another way to deal with this questi ...
We propose a method to count and estimate the mixing directions in an underdetermined multichannel mixture. The approach is based on the hypothesis that in the neighbourhood of some time-frequency points, only one source essentially contributes to the mixt ...
Institute of Electrical and Electronics Engineers2010
Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the effect of allowing t ...
Bernoulli Society for Mathematical Statistics and Probability2013
In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining obse ...
We propose a resource allocation model for project scheduling. Our model accommodates multiple resources and decision-dependent activity durations inspired by microeconomic theory. First, we elaborate a deterministic problem formulation. In a second stage, ...
This article examines the risk-return trade-off of a mixed-asset portfolio that includes real estate using copula functions. In particular, it analyses the role of direct as opposed to securitised real estate in terms of diversification when the dependence ...
