Heavy-Tailed Time Series

Rafal Kulik graduated from the University of Wroclaw, Poland. He is currently a Professor at the Department of Mathematics and Statistics, University of Ottawa. His research interests are centered around limit theorems for stochastic  processes with temporal dependence. Philippe Soulier graduated from Ecole Normale Supérieure de Paris and obtained his PhD at University Paris XI Orsay. He is Professor of Mathematics at University Paris Nanterre. His main themes of research are long memory processes and extreme value theory.

• Regular variation.- Regularly varying random variables.- Regularly varying random vectors.- Dealing with extremal independence.- Regular variation of series and random sums.- Regularly varying time series.-  Limit theorems.- Convergence of clusters-. Point process convergence.- Convergence to stable and extremal processes.- The tall empirical and quantile processes.- Estimation of cluster functionals.- Estimation for extremally independent time series.- Bootstrap.- Time series models.- Max-stable processes.- Markov chains.- Moving averages.- Long memory processes.- Appendices.