On Functional Central Limit Theorems for Dependent, Heterogeneous Tail Arrays with Applications to Tail Index and Tail Dependence Estimators
We establish functional central limit theorems for a broad class of dependent, heterogeneous tail arrays encountered in the extreme value literature, including extremal exceedances, tail empirical processes and tail empirical quantile processes. We trim dependence assumptions down to a minimum by constructing extremal versions of mixing and Near-Epoch-Dependence properties, covering mixing, ARFIMA, FIGARCH, bilinear, random coefficient autoregressive, nonlinear distributed lag and Extremal Threshold processes, and stochastic recurrence equations. Of practical importance our theory can be used to characterize the functional limit distributions of sample means and covariances of tail arrays, including popular tail index estimators, the tail quantile function, and multivariate extremal dependence measures under substantially general conditions.
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