Time Series: Yizao Wang
From Belle Taylor on July 3rd, 2021
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Name: Yizao Wang
Talk Title: Long-range clustering for extremes
Abstract: In this talk I will go over a few recent examples of stationary sequences, of which the extremes form long-range clustering. The phenomena of clustering of extremes have been extensively investigated in the literature since 1980s. However, for most examples the extremal clustering occurs only locally. That is, the locations of extremes within each cluster are bounded and shrink to a single point at the macroscopic level after normalization. For long-range clustering, on the other hand, the locations of extremes within each cluster are unbounded, and they can be further characterized by a random closed set in the scaling limit. The talk will be of expository nature and aim at providing an overview of recent results on long-range clustering of extremes arising from two classes of models: the Karlin models and the stable-regenerative models. Based on joint works with Olivier Durieu (Université de Tours, France) and Gennady Samorodnitsky (Cornell University, USA).This talk is a contributed talk at EVA 2021.