Holger Rootzen
My research is about random processes. High-dimensional statistics for extreme episodes; the “shape” of extremes in non-differentiable Gaussian processes; whether human lifelenght is bounded or not; prediction of epidemics; and detection of anomalies is what I think most about right now. I try to contribute to mitigation of the impact of extreme floods, windstorms, and heat waves caused by climate change, to financial risk handling, and to modelling microscopic structures of soft materials. I am associate editor for Journal of the American Statistical Association and for Extremes, and member of the program Management AI/Math group for WASP.
Personal homepage: http://www.math.chalmers.se/~rootzen/
Showing 42 publications
Locally tail-scale invariant scoring rules for evaluation of extreme value forecasts
Remembering Ross Leadbetter: some personal recollections
Real-time prediction of severe influenza epidemics using extreme value statistics
Is There a Cap on Longevity? A Statistical Review
Human mortality at extreme age
Does the death postponement phenomenon really exist?
3D high spatial resolution visualisation and quantification of interconnectivity in polymer films
Prediction of diffusive transport through polymer films from characteristics of the pore geometry
Peaks Over Thresholds Modeling With Multivariate Generalized Pareto Distributions
Multivariate peaks over thresholds models
Rejoinder to discussion of the paper “Human life is unlimited - but short”
Editorial: The 20th Anniversary of the Extremes Journal
Multivariate generalized Pareto distributions: Parametrizations, representations, and properties
Human life is unlimited - but short
Tail estimation for window censored processes
An interview with Ross Leadbetter
Efficient estimation of the number of false positives in high-throughput screening
Error distributions for random grid approximations of multidimensional stochastic integrals
Design Life Level: Quantifying risk in a changing climate
Stationary stochastic processes for scientists and engineers
Limit Theorems for Empirical Processes of Cluster Functionals
Univariate and Bivariate GPD Methods for Predicting Extreme Wind Storm Losses
Models for Dependent Extremes Using Stable Mixtures.
Weak convergence of the tail empirical function for dependent sequences
Pricing k-th to default swaps under default contagion: The matrix analytic approach
A discussion of statistical methods for estimation of extreme wind speeds
On the influence of the prior distribution in image reconstruction.
Pitting corrosion: Comparison of treatments with extreme value distributed responses.
The multivariate generalized Pareto distribution.
Methods for estimating the sizes of large inclusions in clean steels.
Empirical testing of the infinite source poisson data traffice model
Extreme values in finance, telecommunication and the environment
A network traffic model with random transmission rate
Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
Weak convergence of high level crossings and maxima for one or more Gaussian processes
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Showing 4 research projects
Stochastics for big data and big systems - bridging local and global
Analysis of the SHRP2 Naturalistic Driving Study Data
Insurance risk: Realistic models for dependence