Asymptotics for sliding blocks estimators of rare events

DOI10.3150/20-BEJ1272zbMath1469.62254arXiv2003.01016MaRDI QIDQ2040062

Holger Drees, Sebastian Neblung

Publication date: 9 July 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.01016

zbMATH Keywords

extreme value analysistime seriesempirical processesasymptotic efficiencyextremal indexsliding vs disjoint blocksuniform central limit theorems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

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