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

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Standard

The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. / Mikosch, Thomas Valentin; Wintenberger, Olivier.

I: Probability Theory and Related Fields, Bind 159, 2014, s. 157-196.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Mikosch, TV & Wintenberger, O 2014, 'The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains', Probability Theory and Related Fields, bind 159, s. 157-196. https://doi.org/10.1007/s00440-013-0504-1

APA

Mikosch, T. V., & Wintenberger, O. (2014). The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. Probability Theory and Related Fields, 159, 157-196. https://doi.org/10.1007/s00440-013-0504-1

Vancouver

Mikosch TV, Wintenberger O. The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. Probability Theory and Related Fields. 2014;159:157-196. https://doi.org/10.1007/s00440-013-0504-1

Author

Mikosch, Thomas Valentin ; Wintenberger, Olivier. / The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. I: Probability Theory and Related Fields. 2014 ; Bind 159. s. 157-196.

Bibtex

@article{4503c83de96e493b8f327af0a44f3845,
title = "The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains",
abstract = "We introduce the cluster index of a multivariate stationary sequence andcharacterize the index in terms of the spectral tail process. This index plays a majorrole in limit theory for partial sums of sequences. We illustrate the use of the clusterindex by characterizing infinite variance stable limit distributions and precise largedeviation results for sums of multivariate functions acting on a stationary Markovchain under a drift condition.",
author = "Mikosch, {Thomas Valentin} and Olivier Wintenberger",
year = "2014",
doi = "10.1007/s00440-013-0504-1",
language = "English",
volume = "159",
pages = "157--196",
journal = "Probability Theory and Related Fields",
issn = "0178-8051",
publisher = "Springer",

}

RIS

TY - JOUR

T1 - The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains

AU - Mikosch, Thomas Valentin

AU - Wintenberger, Olivier

PY - 2014

Y1 - 2014

N2 - We introduce the cluster index of a multivariate stationary sequence andcharacterize the index in terms of the spectral tail process. This index plays a majorrole in limit theory for partial sums of sequences. We illustrate the use of the clusterindex by characterizing infinite variance stable limit distributions and precise largedeviation results for sums of multivariate functions acting on a stationary Markovchain under a drift condition.

AB - We introduce the cluster index of a multivariate stationary sequence andcharacterize the index in terms of the spectral tail process. This index plays a majorrole in limit theory for partial sums of sequences. We illustrate the use of the clusterindex by characterizing infinite variance stable limit distributions and precise largedeviation results for sums of multivariate functions acting on a stationary Markovchain under a drift condition.

U2 - 10.1007/s00440-013-0504-1

DO - 10.1007/s00440-013-0504-1

M3 - Journal article

VL - 159

SP - 157

EP - 196

JO - Probability Theory and Related Fields

JF - Probability Theory and Related Fields

SN - 0178-8051

ER -

ID: 110375365