Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
| Autor: | Cissokho, Youssouph, Kulik, Rafal |
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| Rok vydání: | 2020 |
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| Druh dokumentu: | Working Paper |
| Popis: | 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 easily verified for a large class of models. In particular, we show that in the Peak over Threshold framework, sliding and disjoint blocks estimators have the same limiting variance. Comment: 42 pages |
| Databáze: | arXiv |
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