In this paper, we consider a simple estimator for tail dependence coefficients of a max-stable time series and show its asymptotic normality under a mild condition. The novelty of our result is that this condition does not involve mixing properties that are common in the literature. More importantly, our condition is linked to the transition between long and short range dependence (LRD/SRD) for max-stable time series. This is based on a recently proposed notion of LRD in the sense of indicators of excursion sets which is meaningfully defined for infinite-variance time series. In particular, we show that asymptotic normality with standard rate of convergence and a function of the sum of tail coefficients as asymptotic variance holds if and only if the max-stable time series is SRD.
%0 Journal Article
%1 10.1214/23-EJS2181
%A Oesting, Marco
%A Rapp, Albert
%D 2023
%I Institute of Mathematical Statistics and Bernoulli Society
%J Electronic Journal of Statistics
%K myown ourwork peerreviewed
%N 2
%P 3316 -- 3336
%R 10.1214/23-EJS2181
%T Long memory of max-stable time series as phase transition: asymptotic behaviour of tail dependence estimators
%U https://doi.org/10.1214/23-EJS2181
%V 17
%X In this paper, we consider a simple estimator for tail dependence coefficients of a max-stable time series and show its asymptotic normality under a mild condition. The novelty of our result is that this condition does not involve mixing properties that are common in the literature. More importantly, our condition is linked to the transition between long and short range dependence (LRD/SRD) for max-stable time series. This is based on a recently proposed notion of LRD in the sense of indicators of excursion sets which is meaningfully defined for infinite-variance time series. In particular, we show that asymptotic normality with standard rate of convergence and a function of the sum of tail coefficients as asymptotic variance holds if and only if the max-stable time series is SRD.
@article{10.1214/23-EJS2181,
abstract = {In this paper, we consider a simple estimator for tail dependence coefficients of a max-stable time series and show its asymptotic normality under a mild condition. The novelty of our result is that this condition does not involve mixing properties that are common in the literature. More importantly, our condition is linked to the transition between long and short range dependence (LRD/SRD) for max-stable time series. This is based on a recently proposed notion of LRD in the sense of indicators of excursion sets which is meaningfully defined for infinite-variance time series. In particular, we show that asymptotic normality with standard rate of convergence and a function of the sum of tail coefficients as asymptotic variance holds if and only if the max-stable time series is SRD.},
added-at = {2023-12-14T12:07:36.000+0100},
author = {Oesting, Marco and Rapp, Albert},
biburl = {https://puma.ub.uni-stuttgart.de/bibtex/2a5c89cf9ff501043eb2da002350eae8e/marcooesting},
doi = {10.1214/23-EJS2181},
interhash = {dfa8ebff177d1d4706a973dfa1cebf9b},
intrahash = {a5c89cf9ff501043eb2da002350eae8e},
journal = {Electronic Journal of Statistics},
keywords = {myown ourwork peerreviewed},
number = 2,
pages = {3316 -- 3336},
publisher = {Institute of Mathematical Statistics and Bernoulli Society},
timestamp = {2023-12-14T12:07:36.000+0100},
title = {{Long memory of max-stable time series as phase transition: asymptotic behaviour of tail dependence estimators}},
url = {https://doi.org/10.1214/23-EJS2181},
volume = 17,
year = 2023
}