The tail process revisited

Hrvoje Planinić; Philippe Soulier

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arXiv · 1706.04767

The tail process revisited

Hrvoje Planinić·Philippe Soulier

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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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Hrvoje Planinić, Philippe Soulier. 2017-06-15. The tail process revisited. https://arxiv.org/abs/1706.04767

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