A large deviations approach to limit theory for heavy-tailed time series-Reference-Cited by-同舟云学术

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A large deviations approach to limit theory for heavy-tailed time series

Published:2015-08-15 Issue:1-2 Volume:166 Page:233-269
ISSN:0178-8051
Container-title:Probability Theory and Related Fields
language:en
Short-container-title:Probab. Theory Relat. Fields

Author:

Mikosch Thomas,Wintenberger Olivier

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis

Link

http://link.springer.com/content/pdf/10.1007/s00440-015-0654-4.pdf

Reference57 articles.

1. Asmussen, S., Albrecher, H.: Ruin Probabilities, 2nd edn. World Scientific Publishing Co. Pte. Ltd., Hackensack (2010)

2. Avram, F., Taqqu, M.S.: Weak convergence of sums of moving averages in the $$\alpha $$ α -stable domain of attraction. Ann. Probab. 20, 483–503 (1992)

3. Balan, R.M., Louhichi, S.: Convergence of point processes with weakly dependent points. J. Theor. Probab. 22, 955–982 (2009)

4. Balan, R., Louhichi, S.: Explicit conditions for the convergence of point processes associated to statonary arrays. Electron. Commun. Probab. 15, 428–441 (2010)

5. Bartkiewicz, K., Jakubowski, A., Mikosch, T., Wintenberger, O.: Stable limits for sums of dependent infinite variance random variables. Probab. Theory Relat. Fields 150, 337–372 (2011)

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