The Lawrence-Lewis Pareto process : an extremal approach
Pareto processes are more suitable for time series with heavy tailed marginals than the classical gaussian. Here we consider the Lawrence-Lewis Pareto process. In particular, we analyze long-range and local dependence and compute some extremal measures. This will provide us some more diagnostic tool...
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| Format: | article |
| Language: | eng |
| Published: |
2016
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| Online Access: | http://hdl.handle.net/1822/44135 |
| Country: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/44135 |
| Summary: | Pareto processes are more suitable for time series with heavy tailed marginals than the classical gaussian. Here we consider the Lawrence-Lewis Pareto process. In particular, we analyze long-range and local dependence and compute some extremal measures. This will provide us some more diagnostic tools and new estimators for the autoregressive parameter of the process. Based on a simulation study we will see that the new methods may be good alternatives in what concerns robustness. |
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