Point process and partial sum convergence for weakly dependent random variables with infinite variance
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Publication:1897166
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- The tail process and tail measure of continuous time regularly varying stochastic processes
- Some properties of stochastic volatility model that are induced by its volatility sequence
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- Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
- Estimation of cluster functionals for regularly varying time series: runs estimators
- Phase transition for extremes of a family of stationary multiple-stable processes
- Continued fractions, the Chen–Stein method and extreme value theory
- Palm theory for extremes of stationary regularly varying time series and random fields
- Statistical inference of subcritical strongly stationary Galton-Watson processes with regularly varying immigration
- Ordinal patterns in clusters of subsequent extremes of regularly varying time series
- Gumbel and Fréchet convergence of the maxima of independent random walks
- On functional limits of short- and long-memory linear processes with GARCH(1,1) noises
- Extreme eigenvalue statistics of \(m\)-dependent heavy-tailed matrices
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- An invariance principle for sums and record times of regularly varying stationary sequences
- Heavy-tailed distributions, correlations, kurtosis and Taylor’s Law of fluctuation scaling
- Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
- Asymptotic independence of the sum and maximum of dependent random variables with applications to high-dimensional tests
- Tail processes for stable-regenerative multiple-stable model
- Whittle estimation based on the extremal spectral density of a heavy-tailed random field
- Convergence of partial sum processes to stable processes with application for aggregation of branching processes
- Stable sums to infer high return levels of multivariate rainfall time series
- Robust inference in conditionally heteroskedastic autoregressions
- Spectral tail processes and max-stable approximations of multivariate regularly varying time series
- Ratio detections for change point in heavy tailed observations
- Tail measures and regular variation
- Closed-form estimators for finite-order ARCH models as simple and competitive alternatives to QMLE
- Componentwise different tail solutions for bivariate stochastic recurrence equations with application to \(\text{GARCH}(1,1)\) processes
- Limit theorems for branching processes with immigration in a random environment
- Quantile inference for nonstationary processes with infinite variance innovations
- Point processes associated with stationary stable processes
- A functional limit theorem for dependent sequences with infinite variance stable limits
- Clusters of extremes: modeling and examples
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
- On joint weak convergence of partial sum and maxima processes
- Large deviations for solutions to stochastic recurrence equations under Kesten's condition
- Asymptotics of Markov kernels and the tail chain
- The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
- The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
- Some variations on the extremal index
- Multivariate linear recursions with Markov-dependent coefficients
- Precise large deviations for dependent regularly varying sequences
- Homogeneous models and generic extensions
- The tail process revisited
- Stable random fields, point processes and large deviations
- High-level dependence in time series models
- Large deviations for point processes based on stationary sequences with heavy tails
- Extremes of regularly varying Lévy-driven mixed moving average processes
- A note on logarithmic tail asymptotics and mixing
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- Exact moderate and large deviations for linear random fields
- Characterizations and examples of hidden regular variation
- On the asymptotic distributions of partial sums of functionals of infinite-variance moving averages
- Large sample theory for statistics of stable moving averages
- Limit theory for bilinear processes with heavy-tailed noise
- Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
- Targeting estimation of CCC-GARCH models with infinite fourth moments
- Poisson limits for \(U\)-statistics.
- Limit Theorems for Moving Averages with Random Coefficients and Heavy-Tailed Noise
- Weak quenched limiting distributions for transient one-dimensional random walk in a random environment
- Clustering of Markov chain exceedances
- The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process
- Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
- Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
- Stochastic volatility models with possible extremal clustering
- On the asymptotic independence of the sum and rare values of weakly dependent stationary random variables
- Extremes of autoregressive threshold processes
- A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations
- The extremogram: a correlogram for extreme events
- A Fourier analysis of extreme events
- Estimates for the distribution of sums and maxima of sums of random variables without the Cramér condition
- Heavy-tailed branching process with immigration
- Measures of serial extremal dependence and their estimation
- Stable limits for sums of dependent infinite variance random variables
- On the tail behavior of a class of multivariate conditionally heteroskedastic processes
- Convergence of point processes with weakly dependent points
- Ergodic theory, abelian groups and point processes induced by stable random fields
- On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
- A multivariate functional limit theorem in weak \(M_1\) topology
- The integrated periodogram of a dependent extremal event sequence
- Continuity and boundedness of infinitely divisible processes: A Poisson point process approach
- Subsampling tests for the mean change point with heavy-tailed innovations
- On extremal index of max-stable random fields
- Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations
- Choquet random sup-measures with aggregations
- A large deviations approach to limit theory for heavy-tailed time series
- Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process.
- A cluster-limit theorem for infinitely divisible point processes
- Erratum to: ``Modeling clusters of extreme values
- A complete convergence theorem for stationary regularly varying multivariate time series
- Editorial: Special issue on time series extremes
- Convergence to Lévy stable processes under some weak dependence conditions
- Random linear recursions with dependent coefficients
- Inference for conditional value-at-risk of a predictive regression
- Spectral gap properties for linear random walks and Pareto's asymptotics for affine stochastic recursions
- Minimal conditions in \(p\)-stable limit theorems. II
- The sample ACF of a simple bilinear process
- Stable limits of martingale transforms with application to the estimation of GARCH parame\-ters
- Principal component analysis of infinite variance functional data
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