On the speed of convergence of discrete Pickands constants to continuous ones

Abstract

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 grid. We derive an upper bound for the discretization error $\mathcal{H}_\alpha^0 - \mathcal{H}_\alpha^\delta$ , whose rate of convergence agrees with Conjecture 1 of Dieker and Yakir (2014) in the case $\alpha\in(0,1]$ and agrees up to logarithmic terms for $\alpha\in(1,2)$ . Moreover, we show that all moments of $\xi_\alpha^\delta(T)$ are uniformly bounded and the bias of the estimator decays no slower than $\exp\{-\mathcal CT^{\alpha}\}$ , as T becomes large.