Naslov
Anchoring the tail process

Autori
Planinić, Hrvoje ; Basrak, Bojan

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
11th international conference on Extreme Value Analysis (EVA 2019)

Mjesto i datum
Zagreb, Hrvatska, 01.07.2019. - 05.07.2019

Vrsta sudjelovanja
Pozvano predavanje

Vrsta recenzije
Nije recenziran

Ključne riječi
tail process ; stationarity

Sažetak
The tail process of a stationary time series, if it exists, describes the local behavior of the series around a typical exceedance over a large threshold. We intuitively explain that, for a large class of weakly dependent time series, the distribution of the tail process can be viewed as a length-biased version of the asymptotic distribution of a typical cluster of extremes. In order to obtain the latter distribution from the tail process, one needs to debias, and we formalize this idea by introducing the so-called concept of anchoring. We further exploit this relationship to give an another view on the properties of the tail process, such as the time-change formula. If time permits, we will discuss the so-called complete point process convergence result.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

POVEZANOST RADA