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math.ST2018
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…
math.ST2018
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…