A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
Documents
- euclid.bj.1393594007
Final published version, 477 KB, PDF document
The extremogram is an asymptotic correlogram for extreme events constructed from a regularly varying stationary sequence. In this paper, we define a frequency domain analog of the correlogram: a periodogram generated from a suitable sequence of indicator functions of rare events. We derive basic properties of the periodogram such as the asymptotic independence at the Fourier frequencies and use this property to show that weighted versions of the periodogram are consistent estimators of a spectral density derived from the extremogram.
Original language | English |
---|---|
Journal | Bernoulli |
Volume | 20 |
Issue number | 2 |
Pages (from-to) | 803-845 |
ISSN | 1350-7265 |
DOIs | |
Publication status | Published - 2014 |
Number of downloads are based on statistics from Google Scholar and www.ku.dk
No data available
ID: 102654890