arXiv subjects

Youssouph Cissokho

Publications and source records attributed to Youssouph Cissokho.

2 recordsLinked to original sources

arXiv2021

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

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.

math.ST↗

arXiv2020

Estimation of cluster functionals for regularly varying time series: sliding blocks estimators

Cluster indices describe extremal behaviour of stationary time series. We consider their sliding blocks estimators. 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 in the Peak over Threshold framework, sliding and disjoint blocks estimators have the same limiting variance.

math.ST↗