Tail processes for stable-regenerative multiple-stable model

arXiv2110.07499MaRDI QIDQ6380352FDOQ6380352

Publication date: 14 October 2021

Abstract: We investigate a family of discrete-time stationary processes defined by multiple stable integrals and renewal processes with infinite means. The model may exhibit behaviors of short-range or long-range dependence, respectively, depending on the parameters. The main contribution is to establish a phase transition in terms of the tail processes that characterize local clustering of extremes. Moreover, in the short-range dependence regime, the model provides an example where the extremal index is different from the candidate extremal index.

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