Estimation of cluster functionals for regularly varying time series: runs estimators
| Autor: | Cissokho, Youssouph, Kulik, Rafal |
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| Rok vydání: | 2021 |
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| Druh dokumentu: | Working Paper |
| Popis: | 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 easily verified for a large class of models. In particular, we show that blocks and runs estimators have the same limiting variance. Comment: 47 pages, 2 figures, 2 tables. arXiv admin note: text overlap with arXiv:2005.11378 |
| Databáze: | arXiv |
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