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math.ST2020
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…
math.ST2020
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…