Zobrazeno 1 - 10
of 147
pro vyhledávání: '"Kulik, Rafał"'
We continue our investigations on the stable-regenerative double-stable model. This is a stationary regularly varying stochastic process, and here we focus on the case where the memory parameter $\beta\in(0,1/2)$, the tail parameter $\alpha\in(0,1)$,
Externí odkaz:
http://arxiv.org/abs/2409.17966
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:
Cissokho, Youssouph, Kulik, Rafal
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
Externí odkaz:
http://arxiv.org/abs/2109.02164
We consider a change-point test based on the Hill estimator to test for structural changes in the tail index of Long Memory Stochastic Volatility time series. In order to determine the asymptotic distribution of the corresponding test statistic, we p
Externí odkaz:
http://arxiv.org/abs/2006.02667
Autor:
Cissokho, Youssouph, Kulik, Rafal
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 ea
Externí odkaz:
http://arxiv.org/abs/2005.11378
Autor:
Kokoszka, Piotr, Kulik, Rafał
Publikováno v:
In Journal of Multivariate Analysis January 2023 193
Publikováno v:
In Econometrics and Statistics July 2023
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 co
Externí odkaz:
http://arxiv.org/abs/1804.10948
Autor:
Betken, Annika, Kulik, Rafał
In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under the hypothesis of stationarity the limiting behavior of CUSU
Externí odkaz:
http://arxiv.org/abs/1706.06351