Statistics for heteroscedastic time series extremes

DOI10.3150/22-BEJ1560OpenAlexW4388506997MaRDI QIDQ6178550FDOQ6178550

Authors Axel Bücher, Tobias Jennessen

Publication date 16 January 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2204.09534

zbMATH Keywords

extremal indexmultiplier bootstrapkernel estimatornon-stationary extremesregular varying time series

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Stochastic processes (60Gxx) Inference from stochastic processes (62Mxx)

Abstract: Einmahl, de Haan and Zhou (2016, Journal of the Royal Statistical Society: Series B, 78(1), 31-51) recently introduced a stochastic model that allows for heteroscedasticity of extremes. The model is extended to the situation where the observations are serially dependent, which is crucial for many practical applications. We prove a local limit theorem for a kernel estimator for the scedasis function, and a functional limit theorem for an estimator for the integrated scedasis function. We further prove consistency of a bootstrap scheme that allows to test for the null hypothesis that the extremes are homoscedastic. Finally, we propose an estimator for the extremal index governing the dynamics of the extremes and prove its consistency. All results are illustrated by Monte Carlo simulations. An important intermediate result concerns the sequential tail empirical process under serial dependence.

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