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pro vyhledávání: '"Chen, Zaoli"'
Autor:
Chen, Zaoli, Kulik, Rafał
We consider disjoint and sliding blocks estimators of cluster indices for multivariate, regularly varying time series in the Peak-over-Threshold framework. We aim to provide a complete description of the limiting behaviour of these estimators. This i
Externí odkaz:
http://arxiv.org/abs/2309.03163
Autor:
Chen, Zaoli, Kulik, Rafal
A blocks method is used to define clusters of extreme values in stationary time series. The cluster starts at the first large value in the block and ends at the last one. The block cluster measure (the point measure at clusters) encodes different asp
Externí odkaz:
http://arxiv.org/abs/2308.16270
Autor:
Chen, Zaoli, Samorodnitsky, Gennady
Extremal clusters of stationary processes with long memory can be quite intricate. For certain stationary infinitely divisible processes with subexponential tails, including both power-like tails and certain lighter tails, e.g. lognormal-like tails,
Externí odkaz:
http://arxiv.org/abs/2107.01517
Autor:
Chen, Zaoli, Samorodnitsky, Gennady
We study clustering of the extremes in a stationary sequence with subexponential tails in the maximum domain of attraction of the Gumbel We obtain functional limit theorems in the space of random sup-measures and in the space $D(0,\infty)$. The limit
Externí odkaz:
http://arxiv.org/abs/2003.05038
Autor:
Chen, Zaoli, Samorodnitsky, Gennady
We study the extremes for a class of a symmetric stable random fields with long range dependence. We prove functional extremal theorems both in the space of sup measures and in the space of cadlag functions of several variables. The limits in both ty
Externí odkaz:
http://arxiv.org/abs/1810.07033
Autor:
Chen, Zaoli, Samorodnitsky, Gennady
Publikováno v:
In Stochastic Processes and their Applications March 2022 145:86-116
Akademický článek
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Autor:
Chen, Zaoli, Samorodnitsky, Gennady
Publikováno v:
Journal of Theoretical Probability; Dec2020, Vol. 33 Issue 4, p1894-1918, 25p