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20192023
most citedLong Memory of Max-Stable Time Series as Phase Transition: Asymptotic Behaviour of Tail Dependence Estimators

1 citations · 2 across the 2 of their papers we have counts for

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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…