The tail process revisited

Published 15 Jun 2017 in math.PR | (1706.04767v2)

Abstract: 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.

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