The tail process revisited. (English) Zbl 1417.60043
Summary: 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.
MSC:
| 60G70 | Extreme value theory; extremal stochastic processes |
References:
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