The tail empirical process of regularly varying functions of
geometrically ergodic Markov chains

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The tail empirical process of regularly varying functions of geometrically ergodic Markov chains

16 November 2015

Olivier Wintenberger

Rafa Kulik

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Papers citing "The tail empirical process of regularly varying functions of geometrically ergodic Markov chains"

9 / 9 papers shown

Title
Self-normalized partial sums of heavy-tailed time series Muneya Matsui T. Mikosch Olivier Wintenberger 40 1 0 30 Mar 2023
Estimation of cluster functionals for regularly varying time series: runs estimators Youssouph Cissokho Rafal Kulik 71 3 0 05 Sep 2021
Cluster based inference for extremes of time series H. Drees Anja Janssen Sebastian Neblung 112 6 0 15 Mar 2021
Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution Axel Bücher Tobias Jennessen 23 0 0 09 Nov 2020
Empirical process theory for locally stationary processes Nathawut Phandoidaen S. Richter 85 7 0 11 Jul 2020
Estimation of cluster functionals for regularly varying time series: sliding blocks estimators Youssouph Cissokho Rafal Kulik 42 10 0 22 May 2020
Peak-over-Threshold Estimators for Spectral Tail Processes: Random vs Deterministic Thresholds H. Drees Miran Knežević 55 10 0 16 Jan 2019
Statistical inference for heavy tailed series with extremal independence Clémonell Bilayi-Biakana Rafal Kulik P. Soulier 92 3 0 29 Apr 2018
On the tail behavior of a class of multivariate conditionally heteroskedastic processes R. Pedersen Olivier Wintenberger 63 8 0 18 Jan 2017