Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series

DOI10.1007/s10687-016-0251-7zbMath1384.60023arXiv1604.07750OpenAlexW3104376871MaRDI QIDQ508723

Johannes Heiny, Xiaolei Xie, Thomas Mikosch, Richard A. Davis

Publication date: 8 February 2017

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.07750

zbMATH Keywords

regular variationtracedependent entriesFréchet distributioninfinite variance stable limitlargest eigenvaluespoint process convergencesample covariance matrixcluster Poisson limit

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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