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Estimation of Limiting Conditional Probabilities for Regularly Varying Time Series

In this thesis we are concerned with estimation of clustering probabilities for univariate heavy tailed time series. We employ functional convergence of a bivariate tail empirical process to conclude asymptotic normality of an estimator of the clustering probabilities. Theoretical results are illustrated by simulation studies.

Identiferoai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:OOU.#10393/30906
Date16 April 2014
CreatorsDimy Anguima Ibondzi, Herve
Source SetsLibrary and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada
LanguageEnglish
Detected LanguageEnglish
TypeThèse / Thesis

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