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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Bibliographic Details
Main Author: Ferreira, Marta Susana (author)
Format: article
Language:eng
Published: 2016
Subjects:
Extreme values theory
Autoregressive processes
Extremal index
Tail dependence
extreme value theory
Ciências Naturais::Matemáticas
Science & Technology
Online Access:http://hdl.handle.net/1822/44135
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/44135

Internet

http://hdl.handle.net/1822/44135

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