44 citations · 85 across the 32 of their papers we have counts for
16 papers · 1 filter
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…
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…
Self-normalized partial sums of heavy-tailed time series
Muneya Matsui, Thomas Mikosch, Olivier Wintenberger
We study the joint limit behavior of sums, maxima and -type moduli for samples taken from an -valued regularly varying stationary sequence with infinite varia…
Asymptotics of densities of first passage times for spectrally negative Lévy processes
Shunsuke Kaji, Muneya Matsui
We study a first passage time of a Lévy process over a positive constant level. In the spectrally negative case we give conditions for absolutely continuity of the distributions of…