The tail process revisited

Hrvoje Planinić , Philippe Soulier (1)

1 MODAL'X - Modélisation aléatoire de Paris X

The tail measure of a regularly varying stationary time series has been recently introduced. It is used in this contribution to reconsider certain properties of the tail process and establish new ones. A new formulation of the time change formula is used to establish identities, some of which were indirectly known and some of which are new.

Domaines: Probabilités [math.PR]

Hrvoje Planinić, Philippe Soulier. The tail process revisited. Extremes, 2019, 129 (11), pp.4209-4238. ⟨10.1007/s10687-018-0312-1⟩. ⟨hal-01686003⟩