Abstract
The sequential tail empirical process is analyzed in a stochastic model allowing for serially dependent observations and heteroscedasticity of extremes in the sense of Einmahl et al. (J. R. Stat. Soc. Ser. B. Stat. Methodol. 78(1), 31–51, 2016). Weighted weak convergence of the sequential tail empirical process is established. As an application, a central limit theorem for an estimator of the extreme value index is proven.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have