Hrvoje Planinic EVA Talk Preview
From Anna Munro
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From Anna Munro
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Name: Hrvoje Planinic
Talk Title: Palm theory for extremes of stationary regularly varying time series and random fields
Abstract: The tail process $\bY=(Y_{\bi})_{\bi\in\Z^d}$ of a stationary regularly varying time series or random field $\bX=(X_{\bi})_{\bi\in\Z^d}$ represents the asymptotic local distribution of $\bX$ 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 $Y_{\bi}\to 0$ as $|\bi|\to\infty$ 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 $\bX$. 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.
This talk is a contributed talk at EVA 2021. View the programme here.
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