Weak convergence of the tail empirical process for dependent sequences

DOI10.1016/j.spa.2008.03.003zbMath1162.60017OpenAlexW2064493471MaRDI QIDQ1004402

Holger Rootzén

Publication date: 10 March 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.03.003

zbMATH Keywords

strong mixingextremesabsolute regularityclustering of extremestail distribution function

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

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Uses Software

• VaR
• ismev

Cites Work

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