Extremal clustering under moderate long range dependence and moderately heavy tails
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Publication:2074983
Abstract: We study clustering of the extremes in a stationary sequence with subexponential tails in the maximum domain of attraction of the Gumbel We obtain functional limit theorems in the space of random sup-measures and in the space . The limits have the Gumbel distribution if the memory is only moderately long. However, as our results demonstrate rather strikingly, the "heuristic of a single big jump" could fail even in a moderately long range dependence setting. As the tails become lighter, the extremal behavior of a stationary process may depend on multiple large values of the driving noise.
The paper highlights an unusual clustering of extreme values that occurs in stationary stochastic sequences with subexponential tails. Some basic facts on the subexponential distributions in the Gumbel maximum domain of attraction are reviewed and completed. Random closed sets, null-recurrent Markov chains and limiting random sup-measure are discussed. The authors introduce a family of stationary subexponential infinitely divisible processes. In this frame, some extremal limit theorems in the space of sup-measures and in the space of cadlag functions are proved. Two suitable examples are presented.
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Cited in
(12)- On the distribution of the extremes of unequally correlated normal variables with applications to antedependent cluster data
- Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
- Limit theorems for conservative flows on multiple stochastic integrals
- Large values of the clustering coefficient
- Functionals of clusters of extremes
- scientific article; zbMATH DE number 6303991 (Why is no real title available?)
- On extremes of random clusters and marked renewal cluster processes
- Clustering of large deviations in moving average processes: the long memory regime
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