Tail adversarial stability for regularly varying linear processes and their extensions

DOI10.1007/S10687-023-00477-7arXiv2205.00043OpenAlexW4389673039MaRDI QIDQ6151141FDOQ6151141

Authors: Shuyang Bai, Ting Zhang 

Publication date: 9 February 2024

Published in: Extremes (Search for Journal in Brave)

Abstract: The recently introduced notion of tail adversarial stability has been proven useful in studying tail dependent time series and obtaining their limit theorems. Its implication and advantage over the classical strong mixing framework has been examined for max-linear processes, but not yet studied for additive linear processes that have also been commonly used in modeling extremal clusters and tail dependence in time series. In this article, we fill this gap by verifying the tail adversarial stability condition for regularly varying additive linear processes. A comparison with the classical strong mixing condition is also given in the context of tail autocorrelation estimation. We in addition consider extensions of the result on an additive linear process to its stochastic volatility generalization and to its max-linear counterpart. Some implications for limit theorems in statistical context are also discussed.

Full work available at URL: https://arxiv.org/abs/2205.00043

zbMATH Keywords

time seriestail dependencelinear processesmoving averagepower lawsregularly varying distributions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)

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