$Chalmers University of Technology$ $Göteborg University$

Holger Rootzén

Professor

Mathematical Statistics
Chalmers University of Technology
S-412 96 GÖTEBORG
SWEDEN
Phone: +46 31 772 35 78 (office) +45 45819390 (home)
Mobile +46 730 794222 Fax: +46 31 772 35 08
Email: rootzen@chalmers.se

Fellow IMS, Member ISI, Editor Bernoulli, elected member of the Royal Swedish Academy of Science and of Kungliga Fysiografiska Sällskapet.

Research interests

Stochastic theory, extreme values, image analysis, data traffic modelling, financial risk, applications in engineering, medicine, and industry.

Professional activities

Selected publications

Books

G. Lindgren, M.R. Leadbetter and H. Rootzén Extremes and related properties of stationary sequences and processes. Springer: New York (1983). Russian translation; Nauka: Moscow (1988).
Extreme values in finance, telecommunication and the environment, edited by B. Finkenstädt and H. Rootzén, Chapman & Hall (2003)

Selected recent papers

T. Mikosch, S. Resnick, H. Rootzén, and A. Stegeman: Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Ann. Appl. Probab. 12, 23-68 (2002) Gzipped PS
K. Maulik, S. Resnick and H. Rootzén: A Network Traffic Model with Random Transmission Rate. Adv. Appl. Probab. 39, 671-699 (2002) Gzipped PS
C. A. Guerin, H. Nyberg, O. Perrin, S. Resnick, H. Rootzén, C. Starica: Empirical testing of the infinite source Poisson data traffic model. Stochastic models 19, 156-196 (2003). Has received the Neuts 2003 best paper award. Gzipped PS
T. Hsing and H. Rootzén: Extremes on Trees. Ann. Probab. 33, 413-444 (2005) Gzipped PS
C. W. Anderson, J. de Mare, and H. Rootzén: Methods for estimating the sizes of large inclusions in clean steels. Acta Materialia 53, 2295-2304 (2005) pdf
O. Perrin, H. Rootzén, and R. Taessler: A discussion of statistical methods for estimation of extreme wind speeds. Theoretical and Applied Climatology 85 203-215 (2006) Gzipped PS
A.L. Fougeres, S. Holm, and H. Rootzén: Pitting corrosion: Comparison of treatments with extreme value distributed responses. Technometrics 48, 262-272 (2006) pdf
J. Olsson and H. Rootzén: On the influence of the prior distribution in image reconstruction. Computational Statistics 21, 431-444 (2006) pdf
H. Rootzen and N. Tajvidi: The multivariate generalized Pareto distribution. Bernoulli 12, 917-930 (2006) pdf
A. Herbertsson and H. Rootzén: Pricing k-th-to-default swaps under default contagion: the matrix-analythic method. J. Computational Finance, 12, 49-78 (2008) pdf
H. Rootzen: Weak convergence of the tail empirical function for dependent sequences. Stoch. Proc. Appl. 119, 468-490 (2009) pdf
A.-L. Fougeres, J. Nolan, and H. Rootzén: Models for Dependent Extremes Using Stable Mixtures. Scand. J. Statist. 36 42- 59 (2009) pdf
E. Brodin and H. Rootzén: Univariate and Bivariate GPD Methods for Predicting Extreme Wind Storm Losses. Insurance: Mathematics and Economics 44 , 345-356 (2009) pdf
H. Drees and H.Rootzen: Limit Theorems for Empirical Processes of Cluster Functionals. Ann. Statist. , to appear pdf
H.Rootzen and D. Zholud: Tail estimation methods for the number of false positives in high throughput testing. To be submitted, pdf

Full list of publications

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Last modified: Tue Sep 24 14:53:02 MET DST 2002