1 citations · 2 across the 2 of their papers we have counts for
3 papers
math.ST2023★ 1 cited
Long Memory of Max-Stable Time Series as Phase Transition: Asymptotic Behaviour of Tail Dependence Estimators
Marco Oesting, Albert Rapp
In this paper, we consider a simple estimator for tail dependence coefficients of a max-stable time series and show its asymptotic normality under a mild condition. The novelty of…
math.ST2022★ 1 cited
Detection of Long Range Dependence in the Time Domain for (In)Finite-Variance Time Series
Marco Oesting, Albert Rapp, Evgeny Spodarev
Empirical detection of long range dependence (LRD) of a time series often consists of deciding whether an estimate of the memory parameter corresponds to LRD. Surprisingly, the…
math.PR2019
Long Range Dependence for Stable Random Processes
Vitalii Makogin, Marco Oesting, Albert Rapp +1
We investigate long and short memory in -stable moving averages and max-stable processes with -Fréchet marginal distributions. As these processes are heavy-tailed, we rely on…