On the asymptotics of extremal lp-blocks cluster inference

Published in Extremes, 2025

Recommended citation: G. Buritica, O. Wintenberger (2025). On the asymptotics of extremal lp-blocks cluster inference. Extremes. https://doi.org/10.1007/s10687-025-00514-7

‘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 favorably with classical approaches in terms of variance.’

[Download paper here].

G. Buritica, O. Wintenberger (2025). On the asymptotics of extremal lp-blocks cluster inference. Extremes link. \