Large deviations of lp-blocks of regularly varying time series and applications to cluster inference
Published in Stochastic processes and their applications, 2023
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.
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