On Functional Central Limit Theorems for Dependent , Heterogeneous Tail Arrays with Applications to Tail Index and Tail Dependence Estimators

@inproceedings{Hill2009OnFC,
  title={On Functional Central Limit Theorems for Dependent , Heterogeneous Tail Arrays with Applications to Tail Index and Tail Dependence Estimators},
  author={Jonathan B. Hill},
  year={2009}
}
We establish functional central limit theorems for a broad class of dependent, heterogeneous tail arrays encountered in the extreme value literature, including extremal exceedances, tail empirical processes and tail empirical quantile processes. We trim dependence assumptions down to a minimum by constructing extremal versions of mixing and Near-EpochDependence properties, covering mixing, ARFIMA, FIGARCH, bilinear, random coefficient autoregressive, nonlinear distributed lag and Extremal… CONTINUE READING
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