4 papers · 1 filter
Statistical analysis for stationary time series at extreme levels: new estimators for the limiting cluster size distribution
Axel Bücher, Tobias Jennessen
A measure of primal importance for capturing the serial dependence of a stationary time series at extreme levels is provided by the limiting cluster size distribution. New estimato…
A Portmanteau-type test for detecting serial correlation in locally stationary functional time series
Axel Bücher, Holger Dette, Florian Heinrichs
The Portmanteau test provides the vanilla method for detecting serial correlations in classical univariate time series analysis. The method is extended to the case of observations…
On Second Order Conditions in the Multivariate Block Maxima and Peak over Threshold Method
Axel Bücher, Stanislav Volgushev, Nan Zou
Second order conditions provide a natural framework for establishing asymptotic results about estimators for tail related quantities. Such conditions are typically tailored to the…
Detecting deviations from second-order stationarity in locally stationary functional time series
Axel Bücher, Holger Dette, Florian Heinrichs
A time-domain test for the assumption of second order stationarity of a functional time series is proposed. The test is based on combining individual cumulative sum tests which are…