Details

Autor(en) / Beteiligte

• Dombry, Clément
• Hashorva, Enkelejd
• Soulier, Philippe

Titel

TAIL MEASURE AND SPECTRAL TAIL PROCESS OF REGULARLY VARYING TIME SERIES

Ist Teil von

• The Annals of applied probability, 2018-12, Vol.28 (6), p.3884-3921

Ort / Verlag

Hayward: Institute of Mathematical Statistics

Erscheinungsjahr

2018

Link zum Volltext

Quelle

Alma/SFX Local Collection

Beschreibungen/Notizen

• The goal of this paper is an exhaustive investigation of the link between the tail measure of a regularly varying time series and its spectral tail process, independently introduced in [Owada and Samorodnitsky (2012)] and [Stochastic Process. Appl. 119 (2009) 1055–1080]. Our main result is to prove in an abstract framework that there is a one-to-one correspondence between these two objects, and given one of them to show that it is always possible to build a time series of which it will be the tail measure or the spectral tail process. For nonnegative time series, we recover results explicitly or implicitly known in the theory of max-stable processes.