Statistical inference for heavy tailed series with extremal independence

29 Apr 2018 · Bilayi-Biakana Clemonell, Kulik Rafal, Soulier Philippe ·

We consider stationary time series $\{X_j, j \in Z\} whose finite dimensional distributions are regularly varying with extremal independence. We assume that for each $h \geq 1$, conditionally on $X_0$ to exceed a threshold tending to infinity, the conditional distribution of $X_h$ suitably normalized converges weakly to a non degenerate distribution. We consider in this paper the estimation of the normalization and of the limiting distribution.

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Statistical inference for heavy tailed series with extremal independence

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