3 papers
math.ST2026
Central limit theory for serial tail dependence estimators in heavy-tailed long memory linear time series
Ioan Scheffel, Marco Oesting, Gilles Stupfler
We prove multiple central limit theorems for serial tail dependence estimators in heavy-tailed long memory linear time series. The main theoretical tools are two novel multivariate…
math.PR2026
Maxima of stationary systems of randomly time-changed Lévy particles
Ioan Scheffel
In this work, we consider maxima of systems of randomly time-changed Lévy particles. We give a general construction to obtain infinite-dimensional classes of stationary…
math.PR2026
Central limit theory for Peaks-over-Threshold partial sums of long memory linear time series
Ioan Scheffel, Marco Oesting, Gilles Stupfler
Over the last 30 years, extensive work has been devoted to developing central limit theory for partial sums of subordinated long memory linear time series. A much less studied prob…