Long-range dependence conjecture for the limiting variance of the tail dependence ratio estimator
Let (Xt)t∈Z(X_t)_{t \in \mathbb{Z}}(Xt)t∈Z be a max-stable stationary time series with α\alphaα-Fréchet margins and pairwise extremal coefficients (θt)t∈Z(\theta_t)_{t \in \mathbb{Z}}(θt)t∈Z. Assume that…
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