### Dr. Johannes Heiny

Ruhr-Universität Bochum

Gebäude IB,

Etage 2, Raum 93

Universitätsstraße 150

D-44801 Bochum

Tel.: +49 (0)234/32-29161

E-Mail: johannes.heiny[at]rub.de

## Research interests

Random matrix theory, high-dimensional statistics, extreme value theory, big data.

## News

- 26.03.2021: New preprint available: Logarithmic law of large random correlation matrix. With Nestor Parolya and Dorota Kurowicka. arxiv
- 23.03.2021: New preprint available: Thin-shell theory for rotationally invariant random simplices. With Samuel Johnston and Joscha Prochno. arxiv
- 15.12.2020: New preprint available: Sequential change point detection in high dimensional time series. With Josua Gösmann, Christina Stoehr and Holger Dette. arxiv
- 08.09.2020: New preprint available: On estimation of quadratic variation for multivariate pure jump semimartingales. With Mark Podolskij. arxiv

## Short CV

- since 11/2018: Postdoc at Department of Mathematics, Ruhr University Bochum.

Member of RTG 2131 ''High-dimensional phenomena in probability - fluctuations and discontinuity''.

Affiliated with the groups of Holger Dette and Peter Eichelsbacher. - 03/2017 - 10/2018: Postdoc at Department of Mathematics, University of Aarhus, in the group of Mark Podolskij.
- 2014 - 2017: PhD in Mathematics at Department of Mathematics, University of Copenhagen. Supervisor: Thomas Mikosch.
- 2011 - 2013: M.Sc. in Financial and Actuarial Mathematics at Vienna University of Technology. Diploma with highest distinction.
- Spring 2012: Studies at University of Bath, United Kingdom.
- 2008 - 2011: B.Sc. in Financial and Actuarial Mathematics at Vienna University of Technology. Diploma with highest distinction.

## Publications

- Preprint: Logarithmic law of large random correlation matrix. With Nestor Parolya and Dorota Kurowicka. arxiv
- Preprint: Thin-shell theory for rotationally invariant random simplices. With Samuel Johnston and Joscha Prochno. arxiv
- Preprint: Sequential change point detection in high dimensional time series. With Josua Gösmann, Christina Stoehr and Holger Dette. arxiv
- Preprint: Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations. With Jianfeng Yao. arxiv
- Preprint: Large sample autocovariance matrices of linear processes with heavy tails. With Thomas Mikosch. arxiv
- Preprint: On estimation of quadratic variation for multivariate pure jump semimartingales. With Mark Podolskij. arxiv
- Point process convergence for the off-diagonal entries of sample covariance matrices. With Thomas Mikosch and Jorge Yslas. Annals of Applied Probability (forthcoming). arxiv
- Extreme eigenvalue statistics of m-dependent heavy-tailed matrices. With Bojan Basrak, Yeonok Cho and Paul Jung. Ann. Inst. Henri Poincaré Probab. Stat. (forthcoming). arxiv
- High-dimensional sample covariance matrices with Curie-Weiss entries. With Michael Fleermann. ALEA, Lat. Am. J. Probab. Math. Stat., 17 (2020), 857--876.
- The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. With Thomas Mikosch. Bernoulli 25 (2019), no. 4B, 3590-3622.
- Random matrix theory for heavy-tailed time series. Journal of Mathematical Sciences, (2019), Vol.237, No.5.
- Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. With Thomas Mikosch. Stochastic Process. Appl. 128, 8 (2018), 2779--2815.
- Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: The iid case. With Thomas Mikosch. Stochastic Process. Appl. 127, 7 (2017), 2179-2207.
- Extreme eigenvalues of sample covariance and correlation matrices. PhD Thesis, University of Copenhagen, (2017).
- Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. With Richard Davis, Thomas Mikosch and Xiaolei Xie. Extremes 19, 3 (2016), 517-547.
- Multivariate extremes and dependence structures: a theoretical background for modelling. Diploma thesis, 2013.

## Selected talks

- March 2021: Invited online-talk at the ''Statistics and Probability Seminar'', Delft
- Sept. 2020: Invited talk at the ''Workshop on Advances in Applied Probability'', Copenhagen
- July 2020: Online-talk at the ''Research Seminar on Probability and Geometry'', Bochum
- March 2020: Contributed talk at the ''14th German Probability and Statistics Days'', Dresden (cancelled due to Corona)
- Dec. 2019: Invited talk at the ''Random Matrices and Complex Data Analysis Workshop'', Shanghai
- July 2019: Contributed talk at the ''32nd European Meeting of Statisticians'', Palermo
- July 2019: Contributed talk at the ''11th International Conference on Extreme Value Analysis'', Zagreb
- May 2019: Invited talk at ''Random Matrices and Related Topics'' conference, KIAS, Seoul
- Jan. 2019: Invited talk at the ''RTG 2131 Seminar'' of the University Alliance Ruhr, Essen
- Nov. 2018: Invited talk at the ''Research Seminar'' of the Institute for Statistics and Mathematics, University of Economics , Vienna
- Sept. 2018: Invited talk at the ''Workshop on New Developments in Econometrics and Time Series'', Copenhagen
- Sept. 2018: Mini-course on ''Random Matrix Theory with Heavy Tails'' at the ''Stochastics Workshop'' organized by Bochum University, Ghiffa
- July 2018: Invited talk at the ''12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics'', Vilnius
- June 2018: Invited talk at the ''40th Conference on Stochastic Processes and their Applications'', Gothenburg
- Feb. 2018: Talk at the ''13th German Probability and Statistics Days'', Freiburg
- Dec. 2017: Invited talk at ''CFE-CMStatistics 2017 Conference'', London
- July 2017: Invited talk at the ''European Meeting of Statisticians (EMS)'', Helsinki
- June 2017: Invited talk at ''10th International Conference on Extreme Value Analysis'', Delft
- Sept. 2015: Participant in Oberwolfach conference on ''The Mathematics and Statistics of Quantitative Risk Manangement'', Oberwolfach

## Research visits

- February 23-28, 2020: Research visit at the Institute of Mathematics and Scientific Computing of the University of Graz. Host: Joscha Prochno.
- November 1-10, 2019: Research visit at the Department of Mathematical Sciences at KAIST (Korea Advanced Institute of Science and Technology), Daejeon. Host: Paul Jung.
- May 4-21, 2018: Research visit at the Department of Statistics and Actuarial Sciences of the University of Hong Kong. Host: Jianfeng Yao.
- April 3-18, 2018: Research visit at the Department of Statistics of the University of California, Davis. Hosts: Alexander Aue and Debashis Paul.
- March 7-9, 2018: Guest at University Pierre and Marie Curie, Paris. Host: Olivier Wintenberger.
- February-June 2016: Visiting researcher at the Statistics Department of Columbia University, New York. Host: Richard Davis.

## Awards

2017: Winner of the ''Best Paper of a Young Researcher Competition'' organized and sponsored by the Springer journal Extremes at the ''10th International Conference on Extreme Value Analysis'', Delft

## Reviews for journals and organizations

- Annals of Statistics
- Bernoulli
- Stochastic Processes and their Applications
- Extremes
- European Actuarial Journal
- Journal of Applied Probability/Advances in Applied Probability
- Probability and Mathematical Statistics
- Scandinavian Journal of Statistics
- Brazilian Journal of Probability and Statistics
- Methodology and Computing in Applied Probability
- Statistics and Probability Letters
- Deutsche Forschungsgemeinschaft