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.
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Cited in
(11)- Extremal clustering in non-stationary random sequences
- Large values of the clustering coefficient
- 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
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- A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence
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