Items where Author / Artist / Editor is "Novak, Serguei"

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Article

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2022) On the T-test. Statistics & Probability Letters, 189 , 109562. ISSN 0167-7152 [Article] (doi:10.1016/j.spl.2022.109562)

Čekanavičius, V. and Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2022) Compound Poisson approximation. Probability Surveys, 19 . pp. 271-350. ISSN 1549-5787 [Article] (doi:10.1214/22-PS8)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2021) Poisson approximation. Addendum. Probability Surveys, 18 . pp. 272-275. ISSN 1549-5787 [Article] (doi:10.1214/21-PS2)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2021) Poisson approximation in terms of the Gini-Kantorovich distance. Extremes, 24 (1) . pp. 64-87. ISSN 1386-1999 [Article] (doi:10.1007/s10687-020-00392-1)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2020) On the T-test. arXiv . pp. 1-19. [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2019) On the accuracy of poisson approximation. Extremes, 22 (4) , 729. pp. 729-748. ISSN 1386-1999 [Article] (doi:10.1007/s10687-019-00350-6)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2019) Poisson approximation. Probability Surveys, 16 . pp. 228-276. ISSN 1549-5787 [Article] (doi:10.1214/18-PS318)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2017) On the length of the longest head run. Statistics & Probability Letters, 30 . pp. 111-114. ISSN 0167-7152 [Article] (doi:10.1016/j.spl.2017.06.020)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2014) Lower bounds to the accuracy of inference on heavy tails. Bernoulli, 20 (2) . pp. 979-989. ISSN 1350-7265 [Article] (doi:10.3150/13-BEJ512)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2013) On the accuracy of inference on heavy-tailed distributions. Theory of Probability and Its Applications, 58 (3) . pp. 509-518. ISSN 0040-585X [Article] (doi:10.1137/S0040585X97986710)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 and Xia, A. (2012) On exceedances of high levels. Stochastic Processes and their Applications, 122 (2) . pp. 582-599. ISSN 0304-4149 [Article] (doi:10.1016/j.spa.2011.09.003)

Borovkov, Konstantin and Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2010) On limiting cluster size distributions for processes of exceedances for stationary sequences. Statistics & Probability Letters, 80 (23-24) . pp. 1814-1818. ISSN 0167-7152 [Article] (doi:10.1016/j.spl.2010.08.006)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2010) A remark concerning value-at-risk. International Journal of Theoretical and Applied Finance, 13 (4) . pp. 507-515. ISSN 0219-0249 [Article] (doi:10.1142/S0219024910005917)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2010) Impossibility of consistent estimation of the distribution function of a sample maximum. Statistics, 44 (1) . pp. 25-30. ISSN 0233-1888 [Article] (doi:10.1080/02331880902986497)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2009) Lower bounds to the accuracy of sample maximum estimation. Theory of Stochastic Processes, 15(31) (2) . pp. 156-161. [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641, Dalla, V. and Giraitis, L. (2007) Evaluating currency risk in emerging markets. Acta applicandae mathematicae., 97 (1-3) . pp. 163-175. ISSN 0167-8019 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2007) Measures of financial risks and market crashes. Theory of stochastic processes, 13 (1-2) . pp. 182-193. ISSN 0095-7380 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 and Beirlant, J. (2006) The magnitude of a market crash can be predicted. Journal of Banking and Finance, 30 (2) . pp. 453-462. ISSN 0378-4266 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2006) A new characterization of the normal law. Statistics & Probability Letters, 77 (1) . pp. 95-98. ISSN 0167-7152 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2005) On self-normalized sums and student's statistic. Theory of Probability and Its Applications, 49 (2) . pp. 336-344. ISSN 0040-585X [Article] (doi:10.1137/S0040585X97981081)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2004) On Gebelein's correlation coefficient. Statistics & Probability Letters, 69 (3) . pp. 299-303. ISSN 0167-7152 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2003) On the accuracy of multivariate compound Poisson approximation. Statistics & Probability Letters, 62 (1) . pp. 35-43. ISSN 0167-7152 [Article] (doi:10.1016/S0167-7152(02)00422-4)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2002) Multilevel clustering of extremes. Stochastic Processes and their Applications, 97 (1) . pp. 59-75. ISSN 0304-4149 [Article] (doi:10.1016/S0304-4149(01)00123-5)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641, Barbour, A. D. and Xia, Aihua (2002) Compound poisson approximation for the distribution of extremes. Advances in applied probability, 34 (1) . pp. 223-240. ISSN 0001-8678 [Article] (doi:10.1239/aap/1019160958)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2002) Inference on heavy tails from dependent data. Siberian advances in mathematics, 12 (2) . pp. 73-96. ISSN 1055-1344 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2002) On self-normalised sums [supplement]. Mathematical methods of statistics., 11 (2) . pp. 256-258. ISSN 1066-5307 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2000) On the mode of an unknown probability distribution. Theory of Probability and Its Applications, 44 (1) . pp. 109-113. ISSN 0040-585X [Article] (doi:10.1137/s0040585x97977392)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2000) On self-normalised sums. Mathematical methods of statistics., 9 (4) . pp. 415-436. ISSN 1066-5307 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1999) Generalised kernel density estimator. Theory of Probability and Its Applications, 44 (3) . pp. 570-583. ISSN 0040-585X [Article] (doi:10.1137/S0040585X97977781)

Weissman, I. and Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1998) On blocks and runs estimators of extremal index. Journal of Statistical Planning and Inference, 66 (2) . pp. 281-288. ISSN 0378-3758 [Article] (doi:10.1016/S0378-3758(97)00095-5)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1998) On the limiting distribution of extremes. Siberian Adv. Math., 8 (2) . pp. 70-95. [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 and Weissman, Ishay (1998) On the joint limiting distribution of the first and the second maxima. Communications In Statistics. Stochastic Models, 14 (1-2) . pp. 311-318. ISSN 1532-6349 [Article] (doi:10.1080/15326349808807473)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1998) On the Erdös-Rènyi maximum of partial sums. Theory of Probability and Its Applications, 42 (2) . pp. 254-270. ISSN 0040-585X [Article] (doi:10.1137/S0040585X97976118)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1996) On extreme values in stationary sequences. Siberian Adv. Math., 6 (3) . pp. 68-80. [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1996) On the distribution of the ratio of sums of random variables. Theory of Probability and Its Applications, 41 (3) . pp. 479-503. ISSN 0040-585X [Article] (doi:10.1137/S0040585X97975228)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1996) Statistical estimation of the maximal eigenvalue of a matrix. Russian Math. (Izvestia Vys. Ucheb. Zaved.), 41 (5) . pp. 46-49. [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1995) Long match patterns in random sequences. Siberian Adv. Math., 5 (3) . pp. 128-140. [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1994) Asymptotic expansions for the maximum of random number of random variables. Stochastic Processes and their Applications, 51 (2) . pp. 297-305. ISSN 0304-4149 [Article] (doi:10.1016/0304-4149(94)90047-7)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1994) Poisson approximation for the number of long match patterns in random sequences. Theory of Probability and Its Applications, 39 (4) . pp. 593-603. ISSN 0040-585X [Article] (doi:10.1137/1139045)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1993) On the asymptotic distribution of the number of random variables exceeding a given level. Siberian Advances in Mathematics, 3 (4) . pp. 108-122. ISSN 1055-1344 [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1992) Longest runs in a sequence of m-dependent random variables. Probability Theory and Related Fields, 91 (3-4) . pp. 269-281. ISSN 0178-8051 [Article] (doi:10.1007/BF01192057)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1991) Rate of convergence in the limit theorem for the length of the longest head run. Siberian Mathematical Journal, 32 (3) . pp. 444-448. ISSN 0037-4466 [Article] (doi:10.1007/BF00970481)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1991) On the distribution of the maximum of random number of random variables. Theory Probab. Appl., 36 (4) . pp. 714-721. [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 and Utev, S. A. (1990) Asymptotics of the distribution of the ratio of sums of random variables. Siberian Mathematical Journal, 31 (5) . pp. 781-788. ISSN 0037-4466 [Article] (doi:10.1007/BF00974491)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1989) Asymptotic expansions in the problem of the longest head run for Markov chain with two states. Trudy Inst. Math. (Novosibirsk), 13 . pp. 136-147. [Article]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1988) Time intervals of constant sojourn of a homogeneous Markov chain in a fixed subset of states. Siberian Mathematical Journal, 29 (1) . pp. 100-109. ISSN 0037-4466 [Article] (doi:10.1007/BF00975021)

Book Section

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2016) Measures of financial risk. In: Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications. Longin, François, ed. Wiley Handbooks in Financial Engineering and Econometrics . Wiley, pp. 215-237. ISBN 9781118650196. [Book Section] (doi:10.1002/9781118650318.ch10)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2009) Advances in extreme value theory with applications to finance. In: New business and finance research developments. Keene, Jon C., ed. Nova Science Publishers, New York, pp. 199-251. ISBN 9781604560749. [Book Section]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 and Embrechts, Paul (2002) Long head runs and long match patterns. In: Advances in finance and stochastics: essays in honour of Dieter Sondermann. Sandmann, Klaus and Schönbucher, Philip, eds. Springer, London, pp. 57-69. ISBN 354043464X. [Book Section]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2000) Confidence intervals for a tail index estimator. In: Measuring risk in complex stochastic systems. Franke, Jurgen, Stahl, Gerhard and Hardle, Wolfgang, eds. Lecture notes in statistics, 147 (147) . Springer, London, pp. 215-222. ISBN 9780387989969. [Book Section] (doi:10.1007/978-1-4612-1214-0_14)

Conference or Workshop Item

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2018) Non-parametric lower bounds and information functions. Nonparametric Statistics: 3rd ISNPS, Avignon, France, June 2016. In: ISNPS-Third Conference of the International Society for Nonparametric Statistics (ISNPS), 11-16 June 2016, Avignon, France. ISBN 9783319969404. ISSN 2194-1009 [Conference or Workshop Item] (doi:10.1007/978-3-319-96941-1)

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2015) On measures of financial risk. Current Topics on Risk Analysis: ICRA 6 and RISK 2015 Conference. In: International Conference on Risk Analysis ICRA 6 / RISK 2015, 26-29 May 2015, Barcelona, Spain. ISBN 9788498444964. [Conference or Workshop Item]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1992) Inference about the Pareto--type distribution. Transactions of the Eleventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes. In: Transactions of the Eleventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes, 26-31 Aug 1990, Prague. . [Conference or Workshop Item]

Book

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2011) Extreme value methods with applications to finance. Monographs on Statistics & Applied Probability . CRC Press, Chapman & Hall. ISBN 9781439835746. [Book]

Thesis

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (2013) Limit theorems and estimates of rates of convergence in extreme value theory. – DSc thesis. Other thesis, St. Petersburg branch of Steklov Institute of Mathematics, Russian Academy of Sciences, and St. Petersburg University. [Thesis]

Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (1988) Asymptotic properties of the distribution of the length of the longest head run. PhD thesis, Russian Academy of Sciences. [Thesis]

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