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 QIDQ6151145zbMATH OpenFDO

Authors Tobias Jennessen, Axel Bücher

Publication date 9 February 2024

Published in Extremes (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

extreme value indexweighted weak convergencesequential tail empirical processnon-stationary extremesregular varying time series

Mathematics Subject Classification ID

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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• Weak convergence and empirical processes. With applications to statistics
• Weak convergence for weighted empirical processes of dependent sequences
• Weak convergence of the tail empirical process for dependent sequences
• Weighted approximations of tail processes for \(\beta\)-mixing random variables.

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