Large deviations of lp-blocks of regularly varying time series and applications to cluster inference

Published in Submitted, 2022

Recommended citation: G. Buriticá, T. Mikosch, O. Wintenberger. (2022). Large deviations of lp-blocks of regularly varying time series and applications to cluster inference. https://arxiv.org/abs/2106.12822

‘This paper studies large deviations of p-norms of stationary regularly varying time series. It introduces α-clusters, where α is the tail-index of the series, and proposes consistent disjoint blocks estimators of α-cluster features. This new methodology proves to be robust to handle time dependencies.’

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G. Buriticá, T. Mikosch, O. Wintenberger. (2022). Large deviations of lp-blocks of regularly varying time series and applications to cluster inference.