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

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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…