Self-normalized partial sums of heavy-tailed time series

DOI10.1016/J.SPA.2025.104729MaRDI QIDQ6910613zbMATH OpenFDO

Authors Muneya Matsui, T. Mikosch, Olivier Wintenberger

Publication date 29 October 2025

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPA.2025.104729

zbMATH Keywords

distributional limitsextremal clustersregularly varying sequenceself-normalized partial sums

Mathematics Subject Classification ID

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

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Cited in

(1)

• Moments for self-normalized partial sums

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