The integrated periodogram of a dependent extremal event sequence

DOI10.1016/J.SPA.2015.02.017MaRDI QIDQ2347460zbMATH OpenOpenAlexFDO

Authors T. Mikosch, Yuwei Zhao

Publication date 27 May 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.04022

zbMATH Keywords

extreme value theoryfunctional central limit theoremGaussian processgoodness-of-fit testspectral analysisstationary bootstrap

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: We investigate the asymptotic properties of the integrated periodogram calculated from a sequence of indicator functions of dependent extremal events. An event in Euclidean space is extreme if it occurs far away from the origin. We use a regular variation condition on the underlying stationary sequence to make these notions precise. Our main result is a functional central limit theorem for the integrated periodogram of the indicator functions of dependent extremal events. The limiting process is a continuous Gaussian process whose covari- ance structure is in general unfamiliar, but in the iid case a Brownian bridge appears. In the general case, we propose a stationary bootstrap procedure for approximating the distribution of the limiting process. The developed theory can be used to construct classical goodness-of-fit tests such as the Grenander- Rosenblatt and Cram'{e}r-von Mises tests which are based only on the extremes in the sample. We apply the test statistics to simulated and real-life data.

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Cited in

(6)

• Whittle estimation based on the extremal spectral density of a heavy-tailed random field
• A Fourier analysis of extreme events
• On Extremal Index of max-stable stationary processes
• Spectral methods for small sample time series: A complete periodogram approach
• On the measurement and treatment of extremes in time series
• Tail Spectral Density Estimation and Its Uncertainty Quantification: Another Look at Tail Dependent Time Series Analysis

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