Extremal clustering under moderate long range dependence and moderately heavy tails

DOI10.1016/J.SPA.2021.12.001zbMATH Open1494.60056arXiv2003.05038OpenAlexW3011165306MaRDI QIDQ2074983FDOQ2074983

Authors: Zaoli Chen, Gennady Samorodnitsky 

Publication date: 11 February 2022

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

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 $D(0,infty)$. 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.

Full work available at URL: https://arxiv.org/abs/2003.05038

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zbMATH Keywords

subexponential distributionstationary sequenceextremal clusteringrandom sup-measureGumbel maximum domain of attraction

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Functional limit theorems; invariance principles (60F17)

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Cited In (11)

• Large values of the clustering coefficient
• Extremal clustering in non-stationary random sequences
• Clustering of large deviations in moving average processes: the long memory regime
• Limit theorems for conservative flows on multiple stochastic integrals
• Phase transition for extremes of a family of stationary multiple-stable processes
• Title not available (Why is that?)
• A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence
• Functionals of clusters of extremes
• Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
• On the distribution of the extremes of unequally correlated normal variables with applications to antedependent cluster data
• On extremes of random clusters and marked renewal cluster processes

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