The tail process revisited
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Abstract: The tail measure of a regularly varying stationary time series has been recently introduced. It is used in this contribution to reconsider certain properties of the tail process and establish new ones. A new formulation of the time change formula is used to establish identities, some of which were indirectly known and some of which are new.
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Cites work
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- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
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Cited in
(23)- Tail measure and spectral tail process of regularly varying time series
- Spectral tail processes and max-stable approximations of multivariate regularly varying time series
- Ordinal patterns in clusters of subsequent extremes of regularly varying time series
- Compound Poisson approximation for regularly varying fields with application to sequence alignment
- On extremal index of max-stable random fields
- Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
- Limit theory and robust evaluation methods for the extremal properties of GARCH\((p,q)\) processes
- The tail process and tail measure of continuous time regularly varying stochastic processes
- Tail measures and regular variation
- Estimation of cluster functionals for regularly varying time series: runs estimators
- Approximation of supremum of max-stable stationary processes \& Pickands constants
- Extremes of stationary random fields on a lattice
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- Tail processes and tail measures: an approach via Palm calculus
- Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference
- On Berman functions
- Shift-invariant homogeneous classes of random fields
- Asymptotic expansions for blocks estimators: PoT framework
- Cluster random fields and random-shift representations
- On aggregation of subcritical Galton-Watson branching processes with regularly varying immigration
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