The tail process revisited
Probability
2017-12-01 v2
Abstract
The tail measure of a regularly varying stationary time series has been recently introduced. It is used in this contribution to reconsider certain properties of the tail process and establish new ones. A new formulation of the time change formula is used to establish identities, some of which were indirectly known and some of which are new.
Cite
@article{arxiv.1706.04767,
title = {The tail process revisited},
author = {Hrvoje Planinić and Philippe Soulier},
journal= {arXiv preprint arXiv:1706.04767},
year = {2017}
}
Comments
Version 2. Added new results in the case $\alpha=1$