The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Standard
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. / Mikosch, Thomas Valentin; Wintenberger, Olivier.
I: Probability Theory and Related Fields, Bind 159, 2014, s. 157-196.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - JOUR
T1 - The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
AU - Mikosch, Thomas Valentin
AU - Wintenberger, Olivier
PY - 2014
Y1 - 2014
N2 - We introduce the cluster index of a multivariate stationary sequence andcharacterize the index in terms of the spectral tail process. This index plays a majorrole in limit theory for partial sums of sequences. We illustrate the use of the clusterindex by characterizing infinite variance stable limit distributions and precise largedeviation results for sums of multivariate functions acting on a stationary Markovchain under a drift condition.
AB - We introduce the cluster index of a multivariate stationary sequence andcharacterize the index in terms of the spectral tail process. This index plays a majorrole in limit theory for partial sums of sequences. We illustrate the use of the clusterindex by characterizing infinite variance stable limit distributions and precise largedeviation results for sums of multivariate functions acting on a stationary Markovchain under a drift condition.
U2 - 10.1007/s00440-013-0504-1
DO - 10.1007/s00440-013-0504-1
M3 - Journal article
VL - 159
SP - 157
EP - 196
JO - Probability Theory and Related Fields
JF - Probability Theory and Related Fields
SN - 0178-8051
ER -
ID: 110375365