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Name: Rafal Kulik

Talk Title: Estimation of cluster functionals for heavy tailed time series

Abstract: In this talk we will consider multivariate regularly varying time series. Using probabilistic tools developed recently, we will study estimators of so-called cluster functionals. These cluster functionals quantify extremal clustering. We will present asymptotic theory for disjoint blocks, sliding blocks and runs estimators in the peak-over-threshold framework. In particular, we will show that all classes of estimators have the same asymptotic variance. This is in contrast to the situation when block maxima method is implemented.

This talk is an invited talk at EVA 2021. View the programme here.