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The integrated periodogram of a dependent extremal event sequence

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  • Mikosch, Thomas
  • Zhao, Yuwei

Abstract

We investigate the asymptotic properties of the integrated periodogram calculated from a sequence of indicator functions of dependent extremal events. An event in Euclidean space is extreme if it occurs far away from the origin. We use a regular variation condition on the underlying stationary sequence to make these notions precise. Our main result is a functional central limit theorem for the integrated periodogram of the indicator functions of dependent extremal events. The limiting process is a continuous Gaussian process whose covariance structure is in general unfamiliar, but in the i.i.d. case a Brownian bridge appears. In the general case, we propose a stationary bootstrap procedure for approximating the distribution of the limiting process. The developed theory can be used to construct classical goodness-of-fit tests such as the Grenander–Rosenblatt and Cramér–von Mises tests which are based only on the extremes in the sample. We apply the test statistics to simulated and real-life data.

Suggested Citation

  • Mikosch, Thomas & Zhao, Yuwei, 2015. "The integrated periodogram of a dependent extremal event sequence," Stochastic Processes and their Applications, Elsevier, vol. 125(8), pages 3126-3169.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:8:p:3126-3169
    DOI: 10.1016/j.spa.2015.02.017
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    References listed on IDEAS

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    1. Dahlhaus, Rainer, 1988. "Empirical spectral processes and their applications to time series analysis," Stochastic Processes and their Applications, Elsevier, vol. 30(1), pages 69-83, November.
    2. Davis, Richard A. & Mikosch, Thomas & Zhao, Yuwei, 2013. "Measures of serial extremal dependence and their estimation," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2575-2602.
    3. Dehling, Herold & Durieu, Olivier & Volny, Dalibor, 2009. "New techniques for empirical processes of dependent data," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3699-3718, October.
    4. Davis, Richard A. & Mikosch, Thomas & Cribben, Ivor, 2012. "Towards estimating extremal serial dependence via the bootstrapped extremogram," Journal of Econometrics, Elsevier, vol. 170(1), pages 142-152.
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    Cited by:

    1. Jozef Baruník & Tobias Kley, 2019. "Quantile coherency: A general measure for dependence between cyclical economic variables," The Econometrics Journal, Royal Economic Society, vol. 22(2), pages 131-152.
    2. Damek, Ewa & Mikosch, Thomas & Zhao, Yuwei & Zienkiewicz, Jacek, 2023. "Whittle estimation based on the extremal spectral density of a heavy-tailed random field," Stochastic Processes and their Applications, Elsevier, vol. 155(C), pages 232-267.
    3. Sourav Das & Suhasini Subba Rao & Junho Yang, 2021. "Spectral methods for small sample time series: A complete periodogram approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 597-621, September.
    4. Lin Han & Ivor Cribben & Stefan Trueck, 2022. "Extremal Dependence in Australian Electricity Markets," Papers 2202.09970, arXiv.org.

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