4 papers
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…
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…
Regularized geometric quantiles and universal linear distribution functionals
Dimitri Konen, Gilles Stupfler
Geometric quantiles are popular location functionals to build rank-based statistical procedures in multivariate settings. They are obtained through the minimization of a non-smooth…
Asymptotic Properties of Generalized Shortfall Risk Measures for Heavy-tailed Risks
Tiantian Mao, Gilles Stupfler, Fan Yang
We study a general risk measure called the generalized shortfall risk measure, which was first introduced in Mao and Cai (2018). It is proposed under the rank-dependent expected ut…