75 citations · 235 across the 62 of their papers we have counts for
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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…
Sample-Path Large Deviations for Functionals of Poisson Cluster Processes
Fabien Baeriswyl, Olivier Wintenberger
We establish sample-path large deviation principles for the centered cumulative functional of marked Poisson cluster processes in the Skorokhod space equipped with the M1 topology,…
Tail asymptotics and precise large deviations for some Poisson cluster processes
Fabien Baeriswyl, Valérie Chavez-Demoulin, Olivier Wintenberger
We study the tail asymptotics of two functionals (the maximum and the sum of the marks) of a generic cluster in two sub-models of the marked Poisson cluster process, namely the ren…
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…
On the asymptotics of extremal lp-blocks cluster inference
Gloria Buriticá, Olivier Wintenberger
Extremes occur in stationary regularly varying time series as short periods with several large observations, known as extremal blocks. We study cluster statistics summarizing the b…
Moment conditions for random coefficient AR() under non-negativity assumptions
Pascal Maillard, Olivier Wintenberger
We consider random coefficient autoregressive models of infinite order (AR()) under the assumption of non-negativity of the coefficients. We develop novel methods yielding…