Analyzing the Gaver-Lewis Pareto process under an extremal perspective

Pareto processes are suitable to model stationary heavy-tailed data. Here, we consider the auto-regressive Gaver–Lewis Pareto Process and address a study of the tail behavior. We characterize its local and long-range dependence. We will see that consecutive observations are asymptotically tail indep...

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Bibliographic Details
Main Author: Ferreira, Marta Susana (author)
Other Authors: Ferreira, Helena (author)
Format: article
Language:eng
Published: 2017
Subjects:
Extreme value theory
Autoregressive processes
Extremal index
Asymptotic tail independence
Ciências Naturais::Matemáticas
Social Sciences
Online Access:http://hdl.handle.net/1822/46971
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/46971

Internet

http://hdl.handle.net/1822/46971

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