The tail process revisited
| Autor: | Planinić, Hrvoje, Soulier, Philippe |
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| Rok vydání: | 2017 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | The tail measure of a regularly varying stationary time series has been recently introduced. It is used in this contribution to reconsider certain properties of the tail process and establish new ones. A new formulation of the time change formula is used to establish identities, some of which were indirectly known and some of which are new. Comment: Version 2. Added new results in the case $\alpha=1$ |
| Databáze: | arXiv |
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