Long-range dependence conjecture for the limiting variance of the tail dependence ratio estimator

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Let (Xt)tZ(X_t)_{t \in \mathbb{Z}} be a max-stable stationary time series with α\alpha-Fréchet margins and pairwise extremal coefficients (θt)tZ(\theta_t)_{t \in \mathbb{Z}}. Assume that 2θt=Ctδ2-\theta_t=Ct^{-\delta} for tZt\in\mathbb{Z}, where C>0C>0 and δ(0,1)\delta\in(0,1). Let p^n,bn(un)\widehat{p}_{n,b_n}(u_n) denote the marginal exceedance-probability estimator and P^T,n,bn(un)\widehat{\mathbb{P}}_{T,n,b_n}(u_n) the corresponding joint exceedance estimator, and consider their ratio estimator χ^T,bn\widehat{\chi}_{T,b_n}. The limiting-variance conjecture. Under appropriate assumptions on the asymptotic covariance of p^n,bn(un)\widehat{p}_{n,b_n}(u_n) and P^T,n,bn(un)\widehat{\mathbb{P}}_{T,n,b_n}(u_n), there exists a constant K>0K>0 such that, for every real sequence unu_n\to\infty and every integer sequence bnb_n\to\infty,

limnVar(nδp(un)P^T,n,bn(un)p^n,bn(un))=K.\lim_{n\to\infty}\operatorname{Var}\left(\sqrt{n^\delta p(u_n)}\frac{\widehat{\mathbb{P}}_{T,n,b_n}(u_n)}{\widehat{p}_{n,b_n}(u_n)}\right)=K.

The conjecture formalizes the expectation that the ratio estimator has the same long-range-dependence variance rate as its denominator; a Delta-method argument might establish it when the covariance and Taylor-expansion remainder conditions are sufficiently strong, but those conditions are not specified here.

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Sources & referencesView supporting material

Primary source

Marco Oesting and Albert Rapp, “Long Memory of Max-Stable Time Series as Phase Transition: Asymptotic Behaviour of Tail Dependence Estimators”, arXiv:2305.10168 (2023).

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