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math.ST2023★ 1 cited
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…
math.ST2023★ 1 cited
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…