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

DOI10.3150/23-BEJ1626MaRDI QIDQ6201843zbMATH OpenOpenAlexWikidataFDO

Authors Zaoli Chen, Gennady Samrodnitsky

Publication date 26 March 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.01517, https://projecteuclid.org/journals/bernoulli/volume-30/issue-2/A-new-shape-of-extremal-clusters-for-certain-stationary-semi/10.3150/23-BEJ1626.full

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)

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.

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