1 citations · 2 across the 5 of their papers we have counts for
5 papers
Asymptotic expansions for blocks estimators: PoT framework
Zaoli Chen, Rafał Kulik
We consider disjoint and sliding blocks estimators of cluster indices for multivariate, regularly varying time series in the Peak-over-Threshold framework. We aim to provide a comp…
Limit theorems for unbounded cluster functionals of regularly varying time series
Zaoli Chen, Rafal Kulik
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…
A New Shape of Extremal Clusters For Certain Stationary Semi-Exponential Processes With Moderate Long Range Dependence
Zaoli Chen, Gennady Samorodnitsky
Extremal clusters of stationary processes with long memory can be quite intricate. For certain stationary infinitely divisible processes with subexponential tails, including both p…
Extremal clustering under moderate long range dependence and moderately heavy tails
Zaoli Chen, Gennady Samorodnitsky
We study clustering of the extremes in a stationary sequence with subexponential tails in the maximum domain of attraction of the Gumbel We obtain functional limit theorems in the…
Extremal Value Theory for Long Range Dependent Stable Random Fields
Zaoli Chen, Gennady Samorodnitsky
We study the extremes for a class of a symmetric stable random fields with long range dependence. We prove functional extremal theorems both in the space of sup measures and in the…