Long memory of max-stable time series as phase transition: asymptotic behaviour of tail dependence estimators

DOI10.1214/23-ejs2181arXiv2305.10168OpenAlexW4388876442MaRDI QIDQ6144426

Marco Oesting, Albert Rapp

Publication date: 5 January 2024

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2305.10168

zbMATH Keywords

limit theoremslong range dependenceextreme value statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70)

Cites Work

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• Strong mixing properties of max-infinitely divisible random fields
• The extremogram: a correlogram for extreme events
• A spectral representation for max-stable processes
• Inequalities for the extremal coefficients of multivariate extreme value distributions
• Stochastic Processes and Long Range Dependence
• Statistics of Extremes
• Long range dependence for stable random processes
• Long range dependence of heavy-tailed random functions

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