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arXiv · 1804.10948

Statistical inference for heavy tailed series with extremal independence

Clemonell Bilayi-Biakana·Rafal Kulik·Philippe Soulier
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Abstract

We consider stationary time series $\{X_j, j \in Z\} whose finite dimensional distributions are regularly varying with extremal independence. We assume that for each $h \geq 1$, conditionally on $X_0$ to exceed a threshold tending to infinity, the conditional distribution of $X_h$ suitably normalized converges weakly to a non degenerate distribution. We consider in this paper the estimation of the normalization and of the limiting distribution.

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Clemonell Bilayi-Biakana, Rafal Kulik, Philippe Soulier. 2018-04-29. Statistical inference for heavy tailed series with extremal independence. https://doi.org/10.1007/s10687-019-00365-z

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