Tail process and extremes of heavy tailed sequences

Bojan Basrak (University of Zagreb)

Frank Adams 2,

We describe how one can characterise dependence structure in a stationary heavy tailed sequence using the notion of tail process. This theory is applied to study extreme values of dependent regularly varying sequences, such as GARCH processes for instance. We will also discuss the convergence of partial sums and corresponding point processes, covering some recent results in the literature.

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