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José Gregorio Gómez

Publications and source records attributed to José Gregorio Gómez.

2 recordsLinked to original sources

Empirical central limit theorem for cluster functionals without mixing

We prove central limit theorems (CLT) for empirical processes of extreme values cluster functionals as in Drees and Rootzén (2010). We use coupling properties enlightened for Dedecker \& Prieur's $τ-$dependence coefficients in order to improve the conditions of dependence and continue to obtain these CLT. The assumptions are precisely set for particular processes and cluster functionals of interest. The number of excesses provides a complete example of a cluster functional for a simple non-mixing model (AR(1)-process) for which ours results are definitely needed. We also give the expression explicit the covariance structure of limit Gaussian process. Also we include in this paper some results of Drees (2011) for the extremal index and some simulations for this index to demonstrate the accuracy of this technique.

math.PR↗

Dependent Lindeberg CLT - Finite Dimensional for Empirical Processes of Cluster Functionals

Drees and Rootzén [2010] have proven central limit theorems (CLT) for empirical processes of extreme values cluster functionals built from $β$-mixing processes. The problem with this family of $β$-mixing processes is that it is quite restrictive, as has been shown by Andrews [1984]. We expand this result to a more general dependent processes family, known as weakly dependent processes in the sense of Doukhan and Louhichi [1999], but in finite-dimensional convergence (fidis). We show an example where the application of the CLT-fidis is sufficient in several cases, including a small simulation of the extremogram introduced by Davis and Mikosch [2009] to confirm the efficacy of our result.

math.PR↗