Ana Ferreira EVA Talk Preview
From Anna Munro on June 7th, 2021
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Name: Ana Ferreira
Talk Title: Convergence of Extreme Values of Poisson Point Processes at Small Times
Abstract: We study the behaviour of large values of extremal processes at small times, obtaining an analogue of the Fisher-Tippet-Gnedenko Theorem. Thus, necessary and sufficient conditions for local convergence of such maxima, linearly normalised, to the Fr\'echet or Gumbel distributions, are established. Weibull distributions are not possible limits in this situation. Moreover, assuming second order regular variation, we prove local asymptotic normality for intermediate order statistics, and derive explicit formulae for the normalising constants for tempered stable processes. We adapt Hill's estimator of the tail index to the small time setting and establish its asymptotic normality under second order regular variation conditions, illustrating this with simulations. Applications to the fine structure of asset returns processes, possibly with infinite variation, are indicated.
Research partially supported by ARC DP160104737, FCT: UIDB/04621/2020, UIDP/04621/2020, SFRH/BSAB/142912/2018.
This talk is a contributed talk at EVA 2021. View the programme here.