Time Series: Zaoli Chen
From Belle Taylor
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Name: Zaoli Chen
Talk Title: Extremes of Subexponential Processes under Moderate Long Memory
Abstract: We consider extremes in a stationary sequence with subexponential tails in the maximum domain of attraction of the Gumbel distribution. We establish extremal limit theorems and the limits have Gumbel distribution. Our results demonstrate that the "heuristic of a single big jump" could break down even under moderate long-range dependence. Additionally, as tails range from lognormal distributions to semiexponential distributions, the extremal clusterings become finer. When the tails are light enough, a sharp phase transition that involves Cox processes will appear.This talk is a contributed talk at EVA 2021.