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09/06/2023
Asymptotic expansions for blocks estimators: PoT framework
We consider disjoint and sliding blocks estimators of cluster indices fo...
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08/30/2023
Limit theorems for unbounded cluster functionals of regularly varying time series
A blocks method is used to define clusters of extreme values in stationa...
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09/05/2021
Estimation of cluster functionals for regularly varying time series: runs estimators
Cluster indices describe extremal behaviour of stationary time series. W...
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06/04/2020
Change-point tests for the tail parameter of Long Memory Stochastic Volatility time series
We consider a change-point test based on the Hill estimator to test for ...
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05/22/2020
Estimation of cluster functionals for regularly varying time series: sliding blocks estimators
Cluster indices describe extremal behaviour of stationary time series. W...
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04/29/2018