The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains (Q2249585): Difference between revisions

The paper establishes limit distributions and precise large deviation results for a partial sum process given by \(S_0 = 0\), \(S_n = X_1 + \dots + X_n\), where \(X_k = f(\Phi_k)\), \((\Phi_k)\) is a stationary Markov chain, and \(f\) is a function acting on the state space of the Markov chain and mapping into \(\mathbb R^d\) for some \(d \geqslant 1\). It is also assumed that the finite-dimensional distributions of the process \((X_k)\) are regularly varying with index \(\alpha\). The authors derive the corresponding limits for all linear combinations \(\theta ' S_n\), \(\theta \in\mathbb S^{d-1}\), where \(\mathbb S^{d-1}\) is the unit sphere in \(\mathbb R^d\) with respect to the Euclidean norm. According to Theorem 6.1, the \(\alpha\)-stable limit laws of \(\theta ' S_n\) (with suitable normalization and centering) are characterized by the function \(b(\theta) = \lim_{k\to\infty} \lim_{x\to\infty} \frac{\operatorname P(\theta ' S_k>x)- \operatorname P(\theta ' S_{k-1}>x)}{\operatorname P(|X| > x)}\) (cluster index).