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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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2020
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| Texto completo: | http://hdl.handle.net/10400.6/8168 |
| País: | Portugal |
| Oai: | oai:ubibliorum.ubi.pt:10400.6/8168 |