Estimation of cluster functionals for regularly varying time series: sliding blocks estimators

DOI10.1214/21-EJS1843zbMATH Open1471.62459arXiv2005.11378OpenAlexW3160935626MaRDI QIDQ2044397FDOQ2044397

Authors: Youssouph Cissokho, Rafał Kulik 

Publication date: 9 August 2021

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2005.11378

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zbMATH Keywords

extremal indexextremesregularly varying time seriescluster index

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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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
• On the disjoint and sliding block maxima method for piecewise stationary time series
• Ordinal patterns in clusters of subsequent extremes of regularly varying time series
• 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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