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正则变动时间序列无界极端簇泛函的极限定理AI 解读

A blocks method is used to define clusters of extreme values in stationary time series. The cluster starts at the first large value in the block and ends at the last one. The block cluster measure (the point measure at clusters) encodes different aspects of extremal properties. Its limiting behaviour is handled by vague convergence, hence the set of test functions consists of bounded, shift-invariant functionals that vanish around zero. If unbounded or non shift-invariant…

正则变换时间序列聚簇泛函的估计：游程估计量AI 解读

Cluster indices describe extremal behaviour of stationary time series. We consider runs estimators of cluster indices. Using a modern theory of multivariate, regularly varying time series, we obtain central limit theorems under conditions that can be easily verified for a large class of models. In particular, we show that blocks and runs estimators have the same limiting variance.