Point process and partial sum convergence for weakly dependent random variables with infinite variance

DOI10.1214/AOP/1176988294zbMATH Open0837.60017OpenAlexW2086061993MaRDI QIDQ1897166FDOQ1897166

Tailen Hsing, Richard A. Davis

Publication date: 20 May 1996

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176988294

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zbMATH Keywords

large deviationsweak convergencepoint processesstrictly stationary sequencedomain of attraction of a stable lawasymptotic behavior of the extreme order statistics

Mathematics Subject Classification ID

Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Cited In (only showing first 100 items - show all)

• A note on logarithmic tail asymptotics and mixing
• Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
• Heavy-Tailed Branching Process with Immigration
• On joint weak convergence of partial sum and maxima processes
• Erratum to: ``Modeling clusters of extreme values
• Functional weak convergence of partial maxima processes
• Large sample theory for statistics of stable moving averages
• The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
• High-level dependence in time series models
• A functional limit theorem for dependent sequences with infinite variance stable limits
• Estimates for the distribution of sums and maxima of sums of random variables without the Cramér condition
• Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances
• The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
• On the asymptotic distributions of partial sums of functionals of infinite-variance moving averages
• Targeting estimation of CCC-GARCH models with infinite fourth moments
• Regularly varying multivariate time series
• The tail process revisited
• Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
• The extremogram: a correlogram for extreme events
• A multivariate functional limit theorem in weak \(M_1\) topology
• The integrated periodogram of a dependent extremal event sequence
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• A Fourier analysis of extreme events
• On the tail behavior of a class of multivariate conditionally heteroskedastic processes
• On extremal index of max-stable random fields
• Convergence to Lévy stable processes under some weak dependence conditions
• Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions
• Limit theory for bilinear processes with heavy-tailed noise
• The sample autocorrelations of heavy-tailed processes with applications to ARCH
• Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
• A large deviations approach to limit theory for heavy-tailed time series
• Large deviations for solutions to stochastic recurrence equations under Kesten's condition
• Precise large deviations for dependent regularly varying sequences
• Characterizations and examples of hidden regular variation
• Poisson limits for \(U\)-statistics.
• Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise
• On the asymptotic independence of the sum and rare values of weakly dependent stationary random variables
• Ergodic theory, abelian groups and point processes induced by stable random fields
• Stable random fields, point processes and large deviations
• Some variations on the extremal index
• Stable limits for sums of dependent infinite variance random variables
• Multivariate linear recursions with Markov-dependent coefficients
• The sample ACF of a simple bilinear process
• Convergence of point processes with weakly dependent points
• Stochastic volatility models with possible extremal clustering
• Measures of serial extremal dependence and their estimation
• Subsampling tests for the mean change point with heavy-tailed innovations
• Asymptotics of Markov Kernels and the Tail Chain
• Inference for conditional value-at-risk of a predictive regression
• Minimal conditions in \(p\)-stable limit theorems. II
• ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
• On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
• A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations
• A cluster-limit theorem for infinitely divisible point processes
• Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• Weak quenched limiting distributions for transient one-dimensional random walk in a random environment
• Clustering of Markov chain exceedances
• Homogeneous models and generic extensions
• A complete convergence theorem for stationary regularly varying multivariate time series
• Editorial: Special issue on time series extremes
• Extremes of autoregressive threshold processes
• ESTIMATION OF AND INFERENCE ABOUT THE EXPECTED SHORTFALL FOR TIME SERIES WITH INFINITE VARIANCE
• Random linear recursions with dependent coefficients
• Asymptotic properties of estimators in a stable Cox-Ingersoll-Ross model
• Point processes associated with stationary stable processes
• Quantile inference for nonstationary processes with infinite variance innovations
• Clusters of extremes: modeling and examples
• Exact moderate and large deviations for linear random fields
• Principal component analysis of infinite variance functional data
• Extremes of regularly varying Lévy-driven mixed moving average processes
• An invariance principle for sums and record times of regularly varying stationary sequences
• Choquet random sup-measures with aggregations
• Whittle estimation based on the extremal spectral density of a heavy-tailed random field
• Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration
• Limit theorems for branching processes with immigration in a random environment
• Some properties of stochastic volatility model that are induced by its volatility sequence
• Gumbel and Fréchet convergence of the maxima of independent random walks
• Spectral tail processes and max-stable approximations of multivariate regularly varying time series
• Tail measures and regular variation
• The tail process and tail measure of continuous time regularly varying stochastic processes
• Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
• Estimation of cluster functionals for regularly varying time series: runs estimators
• Asymptotic independence of the sum and maximum of dependent random variables with applications to high-dimensional tests
• Robust inference in conditionally heteroskedastic autoregressions
• Tail measure and spectral tail process of regularly varying time series
• Continued fractions, the Chen–Stein method and extreme value theory
• Ordinal patterns in clusters of subsequent extremes of regularly varying time series
• Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
• Phase transition for extremes of a family of stationary multiple-stable processes
• Stable sums to infer high return levels of multivariate rainfall time series
• Precise large deviations for dependent subexponential variables
• Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
• Tail processes for stable-regenerative multiple-stable model
• On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
• Convergence of partial sum processes to stable processes with application for aggregation of branching processes
• Palm theory for extremes of stationary regularly varying time series and random fields
• Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
• Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices

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