Financial data have, among others, a particular feature: large values of such series cluster, we are concerned with estimation of clustering probabilities for univariate heavy tailed time series. We describe regular variation as a tool to model heavy tails. We summarize some results on the central limit theorem (CLT) and tightness of stochastic processes. These tools are needed to prove asymptotic normality of our.
Herve Dimy Anguima Ibondzi, Rafal Kulik ebooks downloads
Mathematical Statistics: Time Series Analysis read online free book
Mathematical Statistics: Time Series Analysis books pdf online
Mathematical Statistics: Time Series Analysis read online
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