Weighted weak convergence of the sequential tail empirical process for heteroscedastic time series with an application to extreme value index estimation
DOI10.1007/S10687-023-00476-8MaRDI QIDQ6151145FDOQ6151145
Authors: Tobias Jennessen, Axel Bücher 
Publication date: 9 February 2024
Published in: Extremes (Search for Journal in Brave)
extreme value indexweighted weak convergencesequential tail empirical processnon-stationary extremesregular varying time series
Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
Cites Work
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- Title not available (Why is that?)
- The Exact Constant in the Rosenthal Inequality for Random Variables with Mean Zero
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- On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
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