Statistical inference for heavy tailed series with extremal independence (1804.10948v1)

Abstract: We consider stationary time series ${X_j, j \in Z} whose finite dimensional distributions are regularly varying with extremal independence. We assume that for each $h \geq 1$, conditionally on $X_0$ to exceed a threshold tending to infinity, the conditional distribution of $X_h$ suitably normalized converges weakly to a non degenerate distribution. We consider in this paper the estimation of the normalization and of the limiting distribution.