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

DOI10.1214/aop/1176988294zbMath0837.60017OpenAlexW2086061993MaRDI QIDQ1897166

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

zbMATH Keywords

weak convergence large deviations point processes strictly stationary sequence domain of attraction of a stable law asymptotic behavior of the extreme order statistics

Mathematics Subject Classification ID

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

Related Items

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