Gloria Buriticá

Gloria Buriticá

I'm a lecturer in statistics at MIA Paris-Saclay, AgroParisTech. My research is centered on extreme value theory and statistical learning with a primary focus on risk assessment in climate sciences.

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

Published in Stochastic processes and their applications, 2023

Recommended citation: G. Buriticá, T. Mikosch, O. Wintenberger. (2023). Large deviations of lp-blocks of regularly varying time series and applications to cluster inference. *Stochastic Processes and their Applications*. **161**, 68--101. https://doi.org/10.1016/j.spa.2023.03.013

‘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.’

[Download paper here].

G. Buriticá, T. Mikosch, O. Wintenberger. (2023). Large deviations of lp-blocks of regularly varying time series and applications to cluster inference. Stochastic Processes and their Applications. 161, 68–101.