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Palm theory for extremes of stationary regularly varying time series and random fields (2104.03810v2)

Published 8 Apr 2021 in math.PR

Abstract: The tail process $\boldsymbol{Y}=(Y_{\boldsymbol{i}}){\boldsymbol{i}\in\mathbb{Z}d}$ of a stationary regularly varying random field $\boldsymbol{X}=(X{\boldsymbol{i}}){\boldsymbol{i}\in\mathbb{Z}d}$ represents the asymptotic local distribution of $\boldsymbol{X}$ as seen from its typical exceedance over a threshold $u$ as $u\to\infty$. Motivated by the standard Palm theory, we show that every tail process satisfies an invariance property called exceedance-stationarity and that this property, together with the polar decomposition of the tail process, characterizes the class of all tail processes. We then restrict to the case when $Y{\boldsymbol{i}}\to 0$ as $|\boldsymbol{i}|\to\infty$ and establish a couple of Palm-like dualities between the tail process and the so-called anchored tail process which, under suitable conditions, represents the asymptotic distribution of a typical cluster of extremes of $\boldsymbol{X}$. The main message is that the distribution of the tail process is biased towards clusters with more exceedances. Finally, we use these results to determine the distribution of the typical cluster of extremes for moving average processes with random coefficients and heavy-tailed innovations.

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