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Radial-angular decomposition of regularly varying time series in star-shaped metric spaces

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  • Segers, Johan
  • Zhao, Yuwei
  • Meinguet, Thomas

Abstract

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Suggested Citation

  • Segers, Johan & Zhao, Yuwei & Meinguet, Thomas, 2016. "Radial-angular decomposition of regularly varying time series in star-shaped metric spaces," LIDAM Discussion Papers ISBA 2016017, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2016017
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    File URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A173618/datastream/PDF_02/view
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    References listed on IDEAS

    as
    1. Davis, Richard A. & Mikosch, Thomas & Zhao, Yuwei, 2013. "Measures of serial extremal dependence and their estimation," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2575-2602.
    2. Drees, Holger & Segers, Johan & Warchol, Michal, 2015. "Statistics for Tail Processes of Markov Chains," LIDAM Reprints ISBA 2015023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Meinguet, Thomas & Segers, Johan, 2010. "Regularly varying time series in Banach spaces," LIDAM Discussion Papers ISBA 2010002, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    4. Janssens, Anja & Segers, Johan, 2015. "Markov tail chains," LIDAM Reprints ISBA 2015010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Rafal Kulik & Philippe Soulier, 2013. "Heavy tailed time series with extremal independence," Papers 1307.1501, arXiv.org, revised Oct 2014.
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