Extremal clustering under moderate long range dependence and moderately heavy tails

DOI10.1016/j.spa.2021.12.001zbMath1494.60056arXiv2003.05038OpenAlexW3011165306MaRDI QIDQ2074983

Gennady Samorodnitsky, Zaoli Chen

Publication date: 11 February 2022

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

Full work available at URL: https://arxiv.org/abs/2003.05038

zbMATH Keywords

stationary sequencesubexponential distributionextremal clusteringrandom sup-measureGumbel maximum domain of attraction

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Limit theorems for conservative flows on multiple stochastic integrals ⋮ A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence

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