Multiple block sizes and overlapping blocks for multivariate time series extremes

DOI10.1214/20-AOS1957zbMath1461.62167arXiv1907.09477OpenAlexW3093380516MaRDI QIDQ2656597

Axel Bücher, Stanislav Volgushev, Nan Zou

Publication date: 11 March 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.09477

zbMATH Keywords

empirical processbias correctionsecond-order conditionextreme-value copulablock maximamixing coefficients

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Large deviations (60F10)

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