← All authors Remigijus Leipus Institute of Applied Mathematics (from arXiv:1906.07992, 2019) · ORCID · OpenAlex
60 papers in scope · 60 published · 1 on the econ.EM arXiv · 2,051 citations · h-index 22 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Samuel N. Cohen Lars Nesheim Giulia Mantoan Lingyi Yang Áureo de Paula Dmitrij Celov Saulius Jokubaitis Paulina Jonéus Sebastian Ankargren Dan Zhu Jonas Striaukas Éric Ghysels Aubrey Poon Andrii Babii Etiënne Wijler Stephan Smeekes Joshua C. C. Chan Gregor Kastner Diego Vallarino Måns Unosson Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (1 of 60)
The Random Effect Transformation for Three Regularity Classes
published 2024 · Mathematics · 1 citations
with Jonas Šiaulys, Sylwia Lewkiewicz
Evaluation of Value-at-Risk (VaR) using the Gaussian Mixture Models
published 2024 · Research in Statistics · 6 citations
Randomly Stopped Sums, Minima and Maxima for Heavy-Tailed and Light-Tailed Distributions
published 2024 · Axioms · 2 citations
with Jonas Šiaulys, Svetlana Danilenko, Jūratė Karasevičienė
A note on randomly stopped sums with zero mean increments
published 2023 · Modern Stochastics Theory and Applications
with Jonas Šiaulys
Truncated Moments for Heavy-Tailed and Related Distribution Classes
published 2023 · Mathematics · 4 citations
with Saulius Paukštys, Jonas Šiaulys
Aggregation of network traffic and anisotropic scaling of random fields
published 2023 · Theory of Probability and Mathematical Statistics · first circulated 2021
with Vytautė Pilipauskaitė, Донатас Сургайлис
Asymptotic Normality in Linear Regression with Approximately Sparse Structure
published 2022 · Mathematics · 1 citations
Comparison of estimation methods for the density of autoregressive parameter in aggregated AR(1) processes
published 2021 · Lietuvos matematikos rinkinys
Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck–Goovaerts risk measure
published 2020 · Statistics & Probability Letters · 8 citations
with Saulius Paukštys, Jonas Šiaulys
published 2020 · International Journal of Forecasting · 15 citations · first circulated 2019
Estimating Long Memory in Panel Random‐Coefficient AR(1) Data
published 2020 · Journal of Time Series Analysis · 5 citations · first circulated 2017
with Anne Philippe, Vytautė Pilipauskaitė, Донатас Сургайлис, Vytaute Pilipauskaite
An integer-valued autoregressive process for seasonality
published 2019 · Journal of Statistical Computation and Simulation · 6 citations
with Andrius Buteikis
A copula-based bivariate integer-valued autoregressive process with application
published 2019 · Modern Stochastics Theory and Applications · 8 citations
with Andrius Buteikis
Sample covariances of random-coefficient AR(1) panel model
published 2019 · Electronic Journal of Statistics · 6 citations
with Anne Philippe, Vytautė Pilipauskaitė, Донатас Сургайлис
Bounds for the Clayton copula
published 2017 · Nonlinear Analysis Modelling and Control · 4 citations
with Martynas Manstavičius
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
published 2016 · Journal of Multivariate Analysis · 4 citations
with Anne Philippe, Vytautė Pilipauskaitė, Донатас Сургайлис
Asymptotics for randomly weighted and stopped dependent sums
published 2015 · Stochastics · 16 citations
with Yang Yang, Jonas Šiaulys
Closure property and maximum of randomly weighted sums with heavy-tailed increments
published 2014 · Statistics & Probability Letters · 6 citations
with Yang Yang, Jonas Šiaulys
DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
published 2013 · Econometric Theory · 16 citations
with Frédéric Lavancier, Anne Philippe, Донатас Сургайлис
Asymptotics of partial sums of linear processes with changing memory parameter*
published 2013 · Lithuanian Mathematical Journal · 3 citations
with Донатас Сургайлис
Tail probability of randomly weighted sums of subexponential random variables under a dependence structure
published 2012 · Statistics & Probability Letters · 38 citations
with Yang Yang, Jonas Šiaulys
On the ruin probability in a dependent discrete time risk model with insurance and financial risks
published 2012 · Journal of Computational and Applied Mathematics · 18 citations
with Yang Yang, Jonas Šiaulys
Local precise large deviations for sums of random variables with -regularly varying densities
published 2010 · Statistics & Probability Letters · 8 citations
with Yang Yang, Jonas Šiaulys
Asymptotic normality of the mixture density estimator in a disaggregation scheme
published 2010 · Journal of nonparametric statistics · 12 citations · first circulated 2008
AGGREGATION OF THE RANDOM COEFFICIENT GLARCH(1,1) PROCESS
published 2009 · Econometric Theory · 16 citations
with Liudas Giraitis, Донатас Сургайлис
Asymptotic behaviour of the finite‐time ruin probability in renewal risk models
published 2008 · Applied Stochastic Models in Business and Industry · 19 citations
with Jonas Šiaulys
Effect of aggregation on estimators in AR(1) sequence
published 2008 · Test · 6 citations
Tail behavior of random sums under consistent variation with applications to the compound renewal risk model
published 2008 · Extremes · 46 citations
with A. Aleškevičienė, Jonas Šiaulys
Precise large deviation results for the total claim amount under subexponential claim sizes
published 2007 · Statistics & Probability Letters · 26 citations
with A. Baltrūnas, Jonas Šiaulys
Time series aggregation, disaggregation, and long memory
published 2007 · Lithuanian Mathematical Journal · 20 citations
On Long-Range Dependence in Regenerative Processes Based on a General ON/OFF Scheme
published 2007 · Journal of Applied Probability · 3 citations
with Донатас Сургайлис
A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
published 2006 · Econometric Theory · 41 citations
with Liudas Giraitis, Anne Philippe
Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
published 2006 · Insurance Mathematics and Economics · 38 citations
with Jonas Šiaulys
On a random-coefficient AR(1) process with heavy-tailed renewal switching coefficient and heavy-tailed noise
published 2006 · Journal of Applied Probability · 3 citations
with Vygantas Paulauskas, Донатас Сургайлис
Continuous-Time Approximation of Short-Term Interest Rates in Generalized Ho-Lee Framework
published 2005 · Lithuanian Mathematical Journal
with E. Artamonova
Bond market modelling using a trinomial tree
published 2004 · Lietuvos matematikos rinkinys
with Jelena Artamonova
Renewal regime switching and stable limit laws
published 2004 · Journal of Econometrics · 23 citations
with Vygantas Paulauskas, Донатас Сургайлис
Orthogonal series density estimation in a disaggregation scheme
published 2004 · Journal of Statistical Planning and Inference · 23 citations
with George Oppenheim, Anne Philippe, Marie-Claude Viano
A Multinomial Model for a Bond Market
published 2004 · Lithuanian Mathematical Journal · 1 citations
with Jelena Artamonova
Stability of random coefficient ARCH models and aggregation schemes
published 2003 · Journal of Econometrics · 33 citations
with Vytautas Kazakevičius, Marie-Claude Viano
Random coefficient autoregression, regime switching and long memory
published 2003 · Advances in Applied Probability · 38 citations
with Донатас Сургайлис
On the Power of R/S-Type Tests under Contiguous and Semi-Long Memory Alternatives
published 2003 · Acta Applicandae Mathematicae · 20 citations · first circulated 2002
with Liudas Giraitis, Piotr Kokoszka, Gilles Teyssière
A new theorem on the existence of invariant distributions with applications to ARCH processes
published 2003 · Journal of Applied Probability · 26 citations
with Vytautas Kazakevičius
Long memory and stochastic trend
published 2003 · Statistics & Probability Letters · 25 citations
with Marie-Claude Viano
Rescaled variance and related tests for long memory in volatility and levels
published 2002 · Journal of Econometrics · 308 citations
with Liudas Giraitis, Piotr Kokoszka, Gilles Teyssière, Gilles Teyssiãˆre
ON STATIONARITY IN THE ARCH(∞) MODEL
published 2002 · Econometric Theory · 46 citations
with Vytautas Kazakevičius
Aggregation in ARCH Models
published 2002 · Lithuanian Mathematical Journal · 21 citations
with Marie-Claude Viano
Testing for long memory in the presence of a general trend
published 2001 · Journal of Applied Probability · 90 citations
with Liudas Giraitis, Piotr Kokoszka
Change-Point Estimation in ARCH Models
published 2000 · Bernoulli · 245 citations
with Piotr Kokoszka
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
published 2000 · Econometric Theory · 267 citations
with Liudas Giraitis, Piotr Kokoszka
Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity
published 2000 · Statistical Inference for Stochastic Processes · 48 citations · first circulated 1999
with Liudas Giraitis, Piotr Kokoszka, Gilles Teyssière
Modelling Long‐memory Time Series with Finite or Infinite Variance: a General Approach
published 2000 · Journal of Time Series Analysis · 18 citations
with Marie-Claude Viano
Testing for parameter changes in ARCH models
published 1999 · Lithuanian Mathematical Journal · 80 citations
with Piotr Kokoszka
Security price modelling by a binomial tree
published 1999 · Applicationes Mathematicae · 1 citations
with Alfredas Račkauskas
Change-point in the mean of dependent observations
published 1998 · Statistics & Probability Letters · 100 citations
with Piotr Kokoszka
On a securities price binomial model
published 1997 · Lietuvos matematikos rinkinys
with Alfredas Račkauskas
The change-point problem for dependent observations
published 1996 · Journal of Statistical Planning and Inference · 71 citations
with Liudas Giraitis, Донатас Сургайлис
A generalized fractionally differencing approach in long-memory modeling
published 1995 · Lithuanian Mathematical Journal · 116 citations
with Liudas Giraitis
Testing and estimating in the change-point problem of the spectral function
published 1992 · Lithuanian Mathematical Journal · 43 citations
with Liudas Giraitis
Weak convergence of two-parameter empirical fields in change-point problems
published 1989 · Lithuanian Mathematical Journal · 3 citations
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