The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
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Publication:2249585
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.
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Cited in
(17)- On joint weak convergence of partial sum and maxima processes
- Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
- The tail process revisited
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