2014/04/19 by José Gregorio Gómez, Gómez, José Gregorio · 1 citation
Computer Science · Economics, Econometrics and Finance · Mathematics · #Bayesian Methods and Mixture Models #Financial Risk and Volatility Modeling #Statistical Methods and Inference #math.PR
paper · pdf · doi:10.48550/arxiv.1404.4989
arxiv created 2015/11/21 · arxiv updated 2015/11/24
Drees and Rootzén [2010] have proven central limit theorems (CLT) for empirical processes of extreme values cluster functionals built from β-mixing processes. The problem with this family of β-mixing processes is that it is quite restrictive, as has been shown by Andrews [1984]. We expand this result to a more general dependent processes family, known as weakly dependent processes in the sense of Doukhan and Louhichi [1999], but in finite-dimensional convergence (fidis). We show an example where the application of the CLT-fidis is sufficient in several cases, including a small simulation of the extremogram introduced by Davis and Mikosch [2009] to confirm the efficacy of our result.