Stochastik und Didaktik

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]math.su.se

Research interests

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

News

• Since 03/2023: Associate Professor in Mathematical Statistics at Department of Mathematics, Stockholm University.
• 27.02.2023: New preprint available: Asymptotic independence of point process and Frobenius norm of a large sample covariance matrix. With Carolin Kleemann. arxiv
• 15.02.2023: Our paper "Logarithmic law of large random correlation matrix" was accepted for publication in Bernoulli. arxiv
• 14.02.2023: New preprint available: Maximum interpoint distance of high-dimensional random vectors. With Carolin Kleemann. arxiv
• 14.01.2023: Our paper ''Log determinant of large correlation matrices under infinite fourth moment'' was accepted for publication in Ann. Inst. Henri Poincaré Probab. Stat. arxiv
• 31.10.2022: New preprint available: Independence testing in high dimensions. With Patrick Bastian and Holger Dette. arxiv
• 31.08.2022: New preprint available: Limiting spectral distribution for large sample correlation matrices. With Nina Dörnemann. arxiv
• 30.08.2022: Our paper ''Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations'' was accepted for publication in Annals of Statistics. arxiv
• 02.06.2022: New preprint available: The volume of random simplices from elliptical distributions in high dimension. With Anna Gusakova and Christoph Thäle. arxiv
• 25.05.2022: Our paper ''Sequential change point detection in high dimensional time series'' was accepted for publication in Electronic Journal of Statistics. arxiv
• 08.03.2022: New preprint available: Large sample covariance matrices of Gaussian observations with uniform correlation decay. With Michael Fleermann. arxiv

Short CV

• Since 03/2023: Associate Professor in Mathematical Statistics at Department of Mathematics, Stockholm University.
• 11/2018 - 02/2023: Postdoc at Department of Mathematics, Ruhr University Bochum.
  Affiliated with the groups of Holger Dette and Peter Eichelsbacher.
  Member of RTG 2131 ''High-dimensional phenomena in probability - fluctuations and discontinuity'' (until April 2020).
  
• 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

A list of my publications is also available on Google Scholar, ORCID and Mathscinet.

• Preprint: Asymptotic independence of point process and Frobenius norm of a large sample covariance matrix. With Carolin Kleemann. arxiv
• Preprint: Maximum interpoint distance of high-dimensional random vectors. With Carolin Kleemann. arxiv
• Preprint: Independence testing in high dimensions. With Patrick Bastian and Holger Dette. arxiv
• Preprint: Limiting spectral distribution for large sample correlation matrices. With Nina Dörnemann. arxiv
• Preprint: The volume of random simplices from elliptical distributions in high dimension. With Anna Gusakova and Christoph Thäle. arxiv
• Preprint: Large sample covariance matrices of Gaussian observations with uniform correlation decay. With Michael Fleermann. arxiv
• Logarithmic law of large random correlation matrix. With Nestor Parolya and Dorota Kurowicka. Bernoulli (2023), to appear
• Log determinant of large correlation matrices under infinite fourth moment. With Nestor Parolya. Ann. Inst. Henri Poincaré Probab. Stat. (2023), to appear
• Large sample correlation matrices: A comparison theorem and its applications. Electronic Journal of Probability 27 (2022), Paper No. 94, 20 pp.
• Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations. With Jianfeng Yao. Annals of Statistics 50 (2022), no. 6, 3249–3280.
• Sequential change point detection in high dimensional time series. With Josua Gösmann, Christina Stoehr and Holger Dette. Electronic Journal of Statistics, 16 (2022), no. 1, 3608–3671.
• Thin-shell theory for rotationally invariant random simplices. With Samuel Johnston and Joscha Prochno. Electronic Journal of Probability 27, no. 2 (2022), 1–41.
• Large sample autocovariance matrices of linear processes with heavy tails. With Thomas Mikosch. Stochastic Process. Appl. 141, 11 (2021), 344–375.
• On estimation of quadratic variation for multivariate pure jump semimartingales. With Mark Podolskij. Stochastic Process. Appl. 138, 8 (2021), 234–254.
• Point process convergence for the off-diagonal entries of sample covariance matrices. With Thomas Mikosch and Jorge Yslas. Annals of Applied Probability 31 (2021), no. 2, 538–560.
• Extreme eigenvalue statistics of m-dependent heavy-tailed matrices. With Bojan Basrak, Yeonok Cho and Paul Jung. Ann. Inst. Henri Poincaré Probab. Stat. 57, 4 (2021), 2100–2127.
• 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.

Selected talks

• Nov. 2021: Invited talk at the Workshop ''Regular Variation and Related Themes'', Dubrovnik
• Sept. 2021: Contributed talk at the ''15th German Probability and Statistics Days'', Mannheim
• July 2021: Contributed talk at the ``12th International Conference on Extreme Value Analysis'', Edinburgh
• May 2021: Invited online-talk at the ''Bielefeld-Melbourne Random Matrix Seminar'', Bielefeld and Melbourne
• April 2021: Invited online-talk at the ''Random Matrix Theory and Statistics Section Group Meeting'' of the Royal Statistical Society, United Kingdom
• 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.

My coauthors

Bojan Basrak (Zagreb), Patrick Bastian (Bochum), Yeonok Cho (Daejeon, Korea), Richard Davis (New York), Holger Dette (Bochum), Nina Dörnemann (Bochum), Michael Fleermann (Hagen), Josua Gösmann (Bochum), Anna Gusakova (Münster), Samuel Johnston (Bath), Paul Jung (Daejeon, Korea), Carolin Kleemann (Bochum), Dorota Kurowicka (Delft), Thomas Mikosch (Copenhagen), Nestor Parolya (Delft), Mark Podolskij (Luxembourgh), Joscha Prochno (Passau), Christina Stoehr (Bochum), Christoph Thäle (Bochum), Xiaolei Xie (Copenhagen), Jianfeng Yao (Hongkong), Jorge Yslas (Liverpool)

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