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dc.contributor.authorWintenberger, Olivier
dc.contributor.authorMikosch, Thomas
dc.date.accessioned2013-04-03T14:21:10Z
dc.date.available2013-04-03T14:21:10Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/11187
dc.language.isoenen
dc.subjectGARCHen
dc.subjectlarge deviation principleen
dc.subjectcentral limit theoremen
dc.subjectregular variationen
dc.subjectMarkov processesen
dc.subject.ddc519en
dc.titleThe cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chainsen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherLaboratoire de Finance Assurance (LFA) http://www.crest.fr/content/view/41/100/ Centre de Recherche en Économie et STatistique (CREST);France
dc.contributor.editoruniversityotherLaboratory of Actuarial Mathematics University of Copenhagen;Danemark
dc.description.abstractenWe introduce the cluster index of a multivariate regularly varying 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 regularly varying 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.en
dc.relation.isversionofjnlnameProbability Theory and Related Fields
dc.relation.isversionofjnlvol159
dc.relation.isversionofjnlissue1-2
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages157-196
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s00440-013-0504-1
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00806306
dc.relation.isversionofjnlpublisherSpringer
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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