Cluster based inference for extremes of time series

Link:
Autor/in:
Erscheinungsjahr:
2021
Medientyp:
Text
Beschreibung:
  • We introduce a new type of estimator for the spectral tail process of a regularly varying time series. The approach is based on a characterizing invariance property of the spectral tail process, which is incorporated into the new estimator via a projection technique. We show uniform asymptotic normality of this estimator, both in the case of known and of unknown index of regular variation. In a simulation study the new procedure shows a more stable performance than previously proposed estimators.
Lizenz:
  • info:eu-repo/semantics/embargoedAccess
Quellsystem:
Forschungsinformationssystem der UHH

Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/82c90818-2e24-42b9-b794-d7b0925dc4d7