172 citations · 550 across the 37 of their papers we have counts for
19 papers · 1 filter
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…
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…
Some variations on the extremal index
Gloria Buriticá, Meyer Nicolas, Thomas Mikosch +1
We re-consider Leadbetter's extremal index for stationary sequences. It has interpretation as reciprocal of the expected size of an extremal cluster above high thresholds. We focus…
Large deviations of lp-blocks of regularly varying time series and applications to cluster inference
Gloria Buriticá, Thomas Mikosch, Olivier Wintenberger
In the regularly varying time series setting, a cluster of exceedances is a short period for which the supremum norm exceeds a high threshold. We propose to study a generalization…
Precise large deviations for dependent subexponential variables
Thomas Mikosch, Igor Rodionov
In this paper we study precise large deviations for the partial sums of a stationary sequence with a subexponential marginal distribution. Our main focus is on distributions which…
Point process convergence for the off-diagonal entries of sample covariance matrices
Johannes Heiny, Thomas Mikosch, Jorge Yslas
We study point process convergence for sequences of iid random walks. The objective is to derive asymptotic theory for the extremes of these random walks. We show convergence of th…