Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
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Publication:2044397
Abstract: Cluster indices describe extremal behaviour of stationary time series. We consider their sliding blocks estimators. Using a modern theory of multivariate, regularly varying time series, we obtain central limit theorems under conditions that can be easily verified for a large class of models. In particular, we show that in the Peak over Threshold framework, sliding and disjoint blocks estimators have the same limiting variance.
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- scientific article; zbMATH DE number 1026574 (Why is no real title available?)
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Cited in
(10)- Tail measures and regular variation
- Asymptotics for sliding blocks estimators of rare events
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- Estimation of cluster functionals for regularly varying time series: runs estimators
- Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
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- Shift-invariant homogeneous classes of random fields
- Weak convergence of a pseudo maximum likelihood estimator for the extremal index
- Cluster based inference for extremes of time series
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