Open Access
2022 Estimation of cluster functionals for regularly varying time series: Runs estimators
Youssouph Cissokho, Rafal Kulik
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Electron. J. Statist. 16(1): 3561-3607 (2022). DOI: 10.1214/22-EJS2026

Abstract

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.

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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

Information

Received: 1 September 2021; Published: 2022
First available in Project Euclid: 26 June 2022

MathSciNet: MR4444664
zbMATH: 07556939
Digital Object Identifier: 10.1214/22-EJS2026

Keywords: cluster index , extremal index , Extremes , Regularly varying time series

Vol.16 • No. 1 • 2022
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