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

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

We introduce the cluster index of a multivariate 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 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.
OriginalsprogEngelsk
TidsskriftProbability Theory and Related Fields
Vol/bind159
Sider (fra-til)157-196
ISSN0178-8051
DOI
StatusUdgivet - 2014

ID: 110375365