On the speed of convergence of discrete Pickands constants to continuous ones
On the speed of convergence of discrete Pickands constants to continuous ones
Abstract In this manuscript, we address open questions raised by Dieker and Yakir (2014), who proposed a novel method of estimating (discrete) Pickands constants $\mathcal{H}^\delta_\alpha$ using a family of estimators $\xi^\delta_\alpha(T)$ , $T>0$ , where $\alpha\in(0,2]$ is the Hurst parameter, and $\delta\geq0$ is the step size of the regular discretization …