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

1 September 2015

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

6 / 6 papers shown

Title
Limit theorems for unbounded cluster functionals of regularly varying time series Zaoli Chen Rafal Kulik 63 3 0 30 Aug 2023
Causality in extremes of time series Juraj Bodik Z. Pawlas Milan Paluš AI4TS 78 8 0 20 Dec 2021
Anomaly Detection for High-Dimensional Data Using Large Deviations Principle Sreelekha Guggilam V. Chandola A. Patra 26 2 0 28 Sep 2021
Estimation of cluster functionals for regularly varying time series: runs estimators Youssouph Cissokho Rafal Kulik 63 3 0 05 Sep 2021
Estimation of cluster functionals for regularly varying time series: sliding blocks estimators Youssouph Cissokho Rafal Kulik 34 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 55 12 0 14 Jan 2020