Cluster indices describe extremal behaviour of stationary time series. We consider runs estimators of cluster indices. Using a modern theory of multivariate, regularly varying time series, we obtain central limit theorems under conditions that can be easily verified for a large class of models. In particular, we show that blocks and runs estimators have the same limiting variance.
Youssouph Cissokho. Rafal Kulik. "Estimation of cluster functionals for regularly varying time series: Runs estimators." Electron. J. Statist. 16 (1) 3561 - 3607, 2022. https://doi.org/10.1214/22-EJS2026