Tail measure and tail spectral process of regularly varying time series
Probability
2018-07-17 v2
Abstract
The goal of this paper is an exhaustive investigation of the link between the tail measure of a regularly varying time series and its spectral tail process, independently introduced in Owada and Samorodnitsky (2012) and Basrak and Segers (2009). Our main result is to prove in an abstract framework that there is a one to one correspondance between these two objets, and given one of them to show that it is always possible to build a time series of which it will be the tail measure or the spectral tail process. For non negative time series, we recover results explicitly or implicitly known in the theory of max-stable processes.
Keywords
Cite
@article{arxiv.1710.08358,
title = {Tail measure and tail spectral process of regularly varying time series},
author = {Clément Dombry and Enkelejd Hashorva and Philippe Soulier},
journal= {arXiv preprint arXiv:1710.08358},
year = {2018}
}
Comments
Final version accepted in Annals of Applied Probability