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Statistical inference for heavy tailed series with extremal independence
| Content Provider | Semantic Scholar |
|---|---|
| Author | Bilayi-Biakana, Clemonell Kulik, Rafal Soulier, Philippe |
| Copyright Year | 2018 |
| 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. |
| File Format | PDF HTM / HTML |
| DOI | 10.1007/s10687-019-00365-z |
| Alternate Webpage(s) | https://arxiv.org/pdf/1804.10948v1.pdf |
| Alternate Webpage(s) | https://export.arxiv.org/pdf/1804.10948 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
