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The tail process revisited.

Authors :
Planinić, Hrvoje
Soulier, Philippe
Source :
Extremes; Dec2018, Vol. 21 Issue 4, p551-579, 29p
Publication Year :
2018

Abstract

The tail measure of a regularly varying stationary time series has been recently introduced. It is used in this contribution to reconsider certain properties of the tail process and establish new ones. A new formulation of the time change formula is used to establish identities, some of which were indirectly known and some of which are new. [ABSTRACT FROM AUTHOR]

Details

Language :
English
ISSN :
13861999
Volume :
21
Issue :
4
Database :
Complementary Index
Journal :
Extremes
Publication Type :
Academic Journal
Accession number :
132945762
Full Text :
https://doi.org/10.1007/s10687-018-0312-1