A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence

DOI10.3150/23-BEJ1626arXiv2107.01517OpenAlexW4391458291WikidataQ128905576 ScholiaQ128905576MaRDI QIDQ6201843FDOQ6201843

Authors: Zaoli Chen, Gennady Samrodnitsky 

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Extremal clusters of stationary processes with long memory can be quite intricate. For certain stationary infinitely divisible processes with subexponential tails, including both power-like tails and certain lighter tails, e.g. lognormal-like tails, such clusters may take the shape of stable regenerative sets. In this paper we show that for semi-exponential tails, which are even lighter, a new shape of extremal clusters arises. In this case each stable regenerative set supports a random panoply of varying extremes.

Full work available at URL: https://arxiv.org/abs/2107.01517

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zbMATH Keywords

extreme value theorylong-range dependencesubexponential distributionssemi-exponential distributionsrandom sup-measureGumbel maximum domain of attractionstable regenerative set

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)

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