Invariance properties of limiting point processes and applications to clusters of extremes
Motivated by examples from extreme value theory, but without using the theory of regularly varying time series or any assumptions about the marginal distribution, we introduce the general notion of a cluster process as a limiting point process of returns of a certain event in a time series. We explo...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
De Gruyter
2024-02-01
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| Series: | Dependence Modeling |
| Subjects: | |
| Online Access: | https://doi.org/10.1515/demo-2023-0109 |