The tail empirical process of regularly varying functions of geometrically ergodic Markov chains - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2015

The tail empirical process of regularly varying functions of geometrically ergodic Markov chains

Résumé

We consider a stationary regularly varying time series which can be expressed as a function of a geometrically ergodic Markov chain. We obtain practical conditions for the weak convergence of weighted versions of the multivariate tail empirical process. These conditions include the so-called geometric drift or Foster-Lyapunov condition and can be easily checked for most usual time series models with a Markovian structure. We illustrate these conditions on several models and statistical applications.
Fichier principal
Vignette du fichier
ksw.pdf (324.67 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-01228825 , version 1 (16-11-2015)
hal-01228825 , version 2 (21-09-2018)

Identifiants

Citer

Rafał Kulik, Philippe Soulier, Olivier Wintenberger. The tail empirical process of regularly varying functions of geometrically ergodic Markov chains. 2015. ⟨hal-01228825v1⟩
158 Consultations
412 Téléchargements

Altmetric

Partager

Gmail Mastodon Facebook X LinkedIn More