Extreme value theory for heavy-tailed time series

Prof Thomas Mikosch (University of Copenhagen)

Wednesday, 15th November 2023

Abstract: We will consider regularly varying time series. The name comes from the marginal tails which are of power-law type. Davis and Hsing (1995) and Basrak and Segers (2009) started the analysis of such sequences. They found an accompanying sequence (spectral tail process) which contains the information about the inuence of extreme values on the future behavior of the time series, in particular on extremal clusters. Using the spectral tail process, it is possible to derive limit theory for maxima, sums, point processes... of regularly varying sequences, but also rened results like precisearge deviation probabilities for these structures. In this talk we will give a short introduction to regularly varying sequences and and explain how the aforementioned limit results can be derived.

 

 

 

 

 

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