Self-normalized partial sums of heavy-tailed time series

MaRDI QIDQ6431393zbMATH OpenFDO

Authors Muneya Matsui, T. Mikosch, Olivier Wintenberger

Publication date 30 March 2023

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Extreme value theory; extremal stochastic processes (60G70) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Abstract: We study the joint limit behavior of sums, maxima and $el{l}^p$-type moduli for samples taken from an $mathbb{R}^d$-valued regularly varying stationary sequence with infinite variance. As a consequence, we can determine the distributional limits for ratios of sums and maxima, studentized sums, and other self-normalized quantities in terms of hybrid characteristic functions and Laplace transforms. These transforms enable one to calculate moments of the limits and to characterize the differences between the iid and stationary cases in terms of indices which describe effects of extremal clustering on functionals acting on the dependent sequence.

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