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Amir Dembo
Researcher at Stanford University
Publications - 228
Citations - 14121
Amir Dembo is an academic researcher from Stanford University. The author has contributed to research in topics: Random walk & Large deviations theory. The author has an hindex of 50, co-authored 225 publications receiving 13129 citations. Previous affiliations of Amir Dembo include Technion – Israel Institute of Technology & Bell Labs.
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Thick points for intersections of planar sample paths
TL;DR: In this article, it was shown that for any 0 < b < 1/(2 \pi), there are points for which the Hausdorff dimension of the set of intersection points of a simple planar random walk is almost surely 2-2a.
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On the parameters estimation of continuous-time ARMA processes from noisy observations
Amir Dembo,Ofer Zeitouni +1 more
TL;DR: This note focuses on continuous-time ARMA processes observed in white noise, and a maximum a-posteriori (MAP) estimator is defined for the trajectory of the parameters' random process, which enables the MAP estimation of randomly slowly varying parameters.
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Matrix optimization under random external fields
TL;DR: Fyodorov et al. as discussed by the authors considered the quadratic optimization problem with a general Wigner matrix and showed that the probability of large deviation for a centered Gaussian vector with i.i.d. entries is bounded.
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Critical Behavior in Lossy Source Coding
Amir Dembo,Ioannis Kontoyiannis +1 more
TL;DR: It is shown that when a memoryless source is compressed using a variable-length fixed-distortion code, the fastest convergence rate of the (pointwise) compression ratio to R(D) is either O(/spl radic/n) or O(log n).
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Large Portfolio Losses
TL;DR: A large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions is provided, which may be useful in allocating exposure limits, and inallocating risk capital across different lines of business.