The tail empirical process of regularly varying functions of geometrically ergodic Markov chains

DOI10.1016/J.SPA.2018.11.014MaRDI QIDQ2010476zbMATH OpenOpenAlexWikidataFDO

Authors Rafał Kulik, Olivier Wintenberger, Philippe Soulier

Publication date 27 November 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.04903

zbMATH Keywords

tail empirical processFoster-Lyapunov conditionergodic Markov chains

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Abstract: We consider a stationary regularly varying time series which can be expressedas a function of a geometrically ergodic Markov chain. We obtain practical conditionsfor the weak convergence of the tail array sums and feasible estimators ofcluster statistics. These conditions include the so-called geometric drift or Foster-Lyapunovcondition and can be easily checked for most usual time series models witha Markovian structure. We illustrate these conditions on several models and statisticalapplications. A counterexample is given to show a different limiting behaviorwhen the geometric drift condition is not fulfilled.

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Cited in

(15)

• Asymptotic normality of the likelihood moment estimators for a stationary linear process with heavy-tailed innovations
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• The tail empirical process for long memory stochastic volatility models with leverage
• Statistical inference for heavy tailed series with extremal independence
• The tail process and tail measure of continuous time regularly varying stochastic processes
• Estimation of cluster functionals for regularly varying time series: runs estimators
• Peak-over-threshold estimators for spectral tail processes: random vs deterministic thresholds
• Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
• On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
• A sequential empirical CLT for multiple mixing processes with application to \(\mathcal{B}\)-geometrically ergodic Markov chains
• Bootstrapping Hill estimator and tail array sums for regularly varying time series
• Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
• Tail asymptotics of free path lengths for the periodic Lorentz process: on Dettmann's geometric conjectures
• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
• Cluster based inference for extremes of time series

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