Long-range dependence conjecture for the limiting variance of the tail dependence ratio estimator
Long-range dependence conjecture for the limiting variance of the tail dependence ratio estimator
Let be a max-stable stationary time series with -Fréchet margins and pairwise extremal coefficients . Assume that for , where and . Let denote the marginal exceedance-probability estimator and the corresponding joint exceedance estimator, and consider their ratio estimator . The limiting-variance conjecture. Under appropriate assumptions on the asymptotic covariance of and , there exists a constant such that, for every real sequence and every integer sequence ,
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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