Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to extreme value index estimation

DOI10.1007/s10687-023-00476-8MaRDI QIDQ6151145

Tobias Jennessen, Axel Bücher

Publication date: 9 February 2024

Published in: Extremes (Search for Journal in Brave)

zbMATH Keywords

extreme value indexweighted weak convergencesequential tail empirical processnon-stationary extremesregular varying time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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