Statistical inference for heavy tailed series with extremal independence

04/29/2018

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by   Clemonell Bilayi-Biakana, et al.

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We consider stationary time series {X_j, j ∈ Z} whose finite dimensional distributions are regularly varying with extremal independence. We assume that for each h ≥ 1, conditionally on X_0 to exceed a threshold tending to infinity, the conditional distribution of X_h suitably normalized converges weakly to a non degenerate distribution. We consider in this paper the estimation of the normalization and of the limiting distribution.