Precise large deviations for dependent regularly varying sequences

7 June 2012

Papers citing "Precise large deviations for dependent regularly varying sequences"

11 / 11 papers shown

Title
Asymptotic expansions for blocks estimators: PoT framework Zaoli Chen Rafal Kulik 73 3 0 06 Sep 2023
Estimation of cluster functionals for regularly varying time series: runs estimators Youssouph Cissokho Rafal Kulik 61 3 0 05 Sep 2021
Estimation of cluster functionals for regularly varying time series: sliding blocks estimators Youssouph Cissokho Rafal Kulik 30 10 0 22 May 2020
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails Johannes Heiny T. Mikosch 53 12 0 14 Jan 2020
On the tail behavior of a class of multivariate conditionally heteroskedastic processes R. Pedersen Olivier Wintenberger 45 8 0 18 Jan 2017
The tail empirical process of regularly varying functions of geometrically ergodic Markov chains Rafal Kulik P. Soulier Olivier Wintenberger Rafa Kulik 44 21 0 16 Nov 2015
A large deviations approach to limit theory for heavy-tailed time series T. Mikosch Olivier Wintenberger 53 36 0 01 Sep 2015
A Fourier analysis of extreme events T. Mikosch Yuwei Zhao 101 15 0 12 Mar 2014
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains T. Mikosch Olivier Wintenberger 93 39 0 31 Mar 2013
Measures of serial extremal dependence and their estimation Richard A. Davis T. Mikosch Yuwei Zhao 115 61 0 25 Mar 2013
Eigenvalues of sample covariance matrices of non-linear processes with infinite variance Richard A. Davis Oliver Pfaffel 61 0 0 26 Nov 2012