On the asymptotics of extremal lp-blocks cluster inference
Published in Submitted, 2022
Recommended citation: G. Buriticá, O. Wintenberger. (2022). On the asymptotics of extremal lp-blocks cluster inference. https://arxiv.org/abs/2212.13521
‘Recently, we proposed a new estimator for cluster inference for heavy-tailed time series. This paper states the asymptotic normality of our α-cluster-based estimator. We infer the extremal index, the cluster lengths and other important indices in extremes. Also, we compute the asymptotic variances for ARMA models and stochastic recurrence equations, which shows our estimator compares favourably with classical approaches in terms of variance.’
G. Buriticá, O. Wintenberger. (2022). On the asymptotics of extremal lp-blocks cluster inference.