Weak convergence of the tail empirical process for dependent sequences
From MaRDI portal
Publication:1004402
DOI10.1016/J.SPA.2008.03.003zbMATH Open1162.60017OpenAlexW2064493471MaRDI QIDQ1004402FDOQ1004402
Authors: Holger Rootzén 
Publication date: 10 March 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2008.03.003
Recommendations
Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)
Cites Work
- An introduction to statistical modeling of extreme values
- Title not available (Why is that?)
- Title not available (Why is that?)
- Extremes and related properties of random sequences and processes
- Weighted empirical and quantile processes
- Title not available (Why is that?)
- Convergence of stochastic processes
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- Title not available (Why is that?)
- Basic properties of strong mixing conditions. A survey and some open questions
- On tail index estimation using dependent data
- Extreme quantile estimation for dependent data, with applications to finance
- Title not available (Why is that?)
- Asymptotic behavior of hill's estimator for autoregressive data
- Functional central limit theorems for processes with positive drift and their inverses
- Central limit theorems for empirical and \(U\)-processes of stationary mixing sequences
- Some Useful Functions for Functional Limit Theorems
- Tail index estimation for dependent data
- Invariance principles for absolutely regular empirical processes
- A new weak dependence condition and applications to moment inequalities
- Asymptotic theory of weakly dependent stochastic processes
- A new covariance inequality and applications.
- Some Limit Theorems for Random Functions. I
- On Smooth Statistical Tail Functionals
- Weak convergence for weighted empirical processes of dependent sequences
- Recent advances in invariance principles for stationary sequences
- New dependence coefficients. Examples and applications to statistics
- Convergence rates in the strong law for bounded mixing sequences
- Limit theorems for tail processes with application to intermediate quantile estimation
- A strong invariance theorem for the tail empirical process
- Consistency of Hill's estimator for dependent data
- The empirical distribution function as a tail estimator
- Title not available (Why is that?)
- Nonstandard functional laws of the iterated logarithm for tail empirical and quantile processes
- Title not available (Why is that?)
- On the distribution of tail array sums for strongly mixing stationary sequences
- Weak convergence of partial sums of absolutely regular sequences
- Inference for the tail parameters of a linear process with heavy tail innovations
- Software for the analysis of extreme events: The current state and future directions
- Inference on heavy tails from dependent data
Cited In (35)
- Estimation of the expected shortfall given an extreme component under conditional extreme value model
- The tail empirical process for long memory stochastic volatility models with leverage
- Fitting time series with heavy tails and strong time dependence
- Statistical inference for heavy tailed series with extremal independence
- Tail adversarial stability for regularly varying linear processes and their extensions
- Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to extreme value index estimation
- Weighted approximations of tail processes for \(\beta\)-mixing random variables.
- Extreme M-quantiles as risk measures: from \(L^{1}\) to \(L^{p}\) optimization
- The tail empirical process for long memory stochastic volatility sequences
- An improved method for forecasting spare parts demand using extreme value theory
- CHANGE POINT TESTS FOR THE TAIL INDEX OFβ-MIXING RANDOM VARIABLES
- Detecting tail behavior: mean excess plots with confidence bounds
- Integral functionals and the bootstrap for the tail empirical process
- Title not available (Why is that?)
- Method of moments estimators for the extremal index of a stationary time series
- The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
- Title not available (Why is that?)
- Modeling and Fitting of Time Series with Heavy Distribution Tails and Strong Time Dependence by Gaussian Time Series
- Risk forecasting in the context of time series
- Tail and nontail memory with applications to extreme value and robust statistics
- Extreme values statistics for Markov chains via the (pseudo-) regenerative method
- Weak limits for exploratory plots in the analysis of extremes
- Change-Point Tests for the Tail Parameter of Long Memory Stochastic Volatility Time Series
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- A horse race between the block maxima method and the peak-over-threshold approach
- Title not available (Why is that?)
- On uniform confidence intervals for the tail index and the extreme quantile
- Adapting extreme value statistics to financial time series: dealing with bias and serial dependence
- Weak convergence of Vervaat and Vervaat error processes of long-range dependent sequences
- On the measurement and treatment of extremes in time series
- Some aspects of extreme value statistics under serial dependence
- Limit theorems for empirical processes of cluster functionals
- Estimating the multivariate extremal index function
- Inference for the limiting cluster size distribution of extreme values
Uses Software
This page was built for publication: Weak convergence of the tail empirical process for dependent sequences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1004402)
