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arXiv · 2109.02164

Estimation of cluster functionals for regularly varying time series: runs estimators

Youssouph Cissokho·Rafal Kulik
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Abstract

Cluster indices describe extremal behaviour of stationary time series. We consider runs estimators of cluster indices. Using a modern theory of multivariate, regularly varying time series, we obtain central limit theorems under conditions that can be easily verified for a large class of models. In particular, we show that blocks and runs estimators have the same limiting variance.

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Youssouph Cissokho, Rafal Kulik. 2021-09-05. Estimation of cluster functionals for regularly varying time series: runs estimators. https://arxiv.org/abs/2109.02164

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