Weighted approximations of tail processes for \(\beta\)-mixing random variables.

DOI10.1214/aoap/1019487617zbMath1073.60520OpenAlexW2062481454MaRDI QIDQ1872492

Holger Drees

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aoap/1019487617

zbMATH Keywords

time seriesinvariance principleHill estimatorextreme value indexdependentstochastic difference equationtail empirical distribution functiontail empirical quantile functionARCH-processstatistical tail functional

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70) Functional limit theorems; invariance principles (60F17)

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