44 citations · 85 across the 32 of their papers we have counts for
34 papers
Can we further improve the central limit theorem for stationary -mixing sequences
Muneya Matsui
Through the seminal works of Peligrad and Bradley, the existing sufficient conditions for the central limit theorem for -mixing sequences are known to be very close to necessary…
Moments for self-normalized partial sums
Muneya Matsui, Thomas Mikosch, Olivier Wintenberger
We consider a regularly varying stationary sequence of random variables (Xt) with tail index ___ < 2. For these sequences we study the joint convergence of sums, `p- type moduli an…
Heavy Tails and Predictive Ability Testing
Jonas F. Frederiksen, Muneya Matsui, Rasmus S. Pedersen
We study the asymptotic behaviour of widely used tests for evaluating and comparing predictive accuracy when forecast errors exhibit heavy tails. In particular, when loss different…
The Gaussian central limit theorem for a stationary time series with infinite variance
Muneya Matsui, Thomas Mikosch
We consider a borderline case: the central limit theorem for a strictly stationary time series with infinite variance but a Gaussian limit. In the iid case a well-known sufficient…
On convolution closure properties of subexponentiality approaching from densities
Muneya Matsui, Toshiro Watanabe
Non-closedness of subexponentiality by the convolution operation is well-known. We go a step further and show that subexponentiality and non-subexponentiality are generally changea…
Mle-equivariance, data transformations and invariant tests of fit
Muneya Matsui, Simos Meintanis
We define data transformations that leave certain classes of distributions invariant, while acting in a specific manner upon the parameters of the said distributions. It is shown t…