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

DOI10.1007/S00440-013-0504-1zbMATH Open1304.60034arXiv1304.0175OpenAlexW2112988004MaRDI QIDQ2249585FDOQ2249585

Olivier Wintenberger, T. Mikosch

Publication date: 2 July 2014

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

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.

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

zbMATH Keywords

central limit theoremregular variationMarkov processeslarge deviation principle

Mathematics Subject Classification ID

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

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Cited In (17)

• Stable limits for Markov chains via the principle of conditioning
• On joint weak convergence of partial sum and maxima processes
• On aggregation of subcritical Galton-Watson branching processes with regularly varying immigration
• Joint extremal behavior of hidden and observable time series with applications to GARCH processes
• The tail process revisited
• 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
• Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
• Tail dependence measure for examining financial extreme co-movements
• The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
• A large deviations approach to limit theory for heavy-tailed time series
• Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
• Convergence of partial sum processes to stable processes with application for aggregation of branching processes
• Polar decomposition of regularly varying time series in star-shaped metric spaces
• A complete convergence theorem for stationary regularly varying multivariate time series
• Cluster based inference for extremes of time series
• An invariance principle for sums and record times of regularly varying stationary sequences

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