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

DOI10.1007/s00440-015-0654-4zbMath1350.60024arXiv1509.00253OpenAlexW1907359964MaRDI QIDQ328780

Thomas Mikosch, Olivier Wintenberger

Publication date: 21 October 2016

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.00253

zbMATH Keywords

time seriesrandom walkscentral limit theoremlarge deviation principlepoint processesmaximaruin probabilitiesData-Driven Modeling of Complex systemsDynamic Mode Decomposition (DMD)regularly varying processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Sums of independent random variables; random walks (60G50) Large deviations (60F10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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