Fakultäten der RUB » Fakultät für Mathematik » Lehrstühle » Arbeitsgruppe Stochastik/Didaktik

Dr. Johannes Heiny

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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]ruhr-uni-bochum.de



Research interests

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

News

  • 08.03.2020: New preprint available: Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations. With Jianfeng Yao. arxiv
  • 18.02.2020: New preprint available: Point process convergence for the off-diagonal entries of sample covariance matrices. With Thomas Mikosch and Jorge Yslas. arxiv
  • 14.01.2020: New preprint available: Large sample autocovariance matrices of linear processes with heavy tails. With Thomas Mikosch. arxiv
  • 27.10.2019: New preprint available: High-dimensional sample covariance matrices with Curie-Weiss entries. With Michael Fleermann. arxiv
  • 18.10.2019: New preprint available: Extreme eigenvalue statistics of m-dependent heavy-tailed matrices. With Bojan Basrak, Yeonok Cho and Paul Jung. 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: Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations. With Jianfeng Yao. arxiv
  • Point process convergence for the off-diagonal entries of sample covariance matrices. With Thomas Mikosch and Jorge Yslas. To appear in Annals of Applied Probability. arxiv
  • Preprint: Large sample autocovariance matrices of linear processes with heavy tails. With Thomas Mikosch. arxiv
  • Preprint: High-dimensional sample covariance matrices with Curie-Weiss entries. With Michael Fleermann. arxiv
  • Preprint: Extreme eigenvalue statistics of m-dependent heavy-tailed matrices. With Bojan Basrak, Yeonok Cho and Paul Jung. arxiv
  • 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 2020: Contributed talk at the ''14th German Probability and Statistics Days'', Dresden
  • 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
  • Statistics and Probability Letters
  • Deutsche Forschungsgemeinschaft