The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains

DOI10.1007/S00440-013-0504-1MaRDI QIDQ2249585zbMATH OpenOpenAlexFDO

Authors T. Mikosch, Olivier Wintenberger

Publication date 2 July 2014

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1304.0175

zbMATH Keywords

central limit theoremlarge deviation principleMarkov processesregular variation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Discrete-time Markov processes on general state spaces (60J05)

Abstract: We introduce the cluster index of a multivariate regularly varying stationary sequence and characterize the index in terms of the spectral tail process. This index plays a major role in limit theory for partial sums of regularly varying sequences. We illustrate the use of the cluster index by characterizing infinite variance stable limit distributions and precise large deviation results for sums of multivariate functions acting on a stationary Markov chain under a drift condition.

Review text

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).

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Cited in

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