Pareto processes

DOI10.2307/3214437MaRDI QIDQ3806623zbMATH OpenOpenAlexFDO

Authors Hsiaw-Chan Yeh, Barry C. Arnold, Christopher Robertson

Publication date 1988

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214437

zbMATH Keywords

absolutely continuous version of the Pareto processasymptotically exponentialasymptotically Weibullautocorrelationautoregressive processbivariate Pareto distributionsextremal processesgeometric distributiongeometric minimamaximum and minimum processesPareto distributed marginalsstrict stationaritysynchronous counting process

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Pareto processes
• scientific article; zbMATH DE number 2129911
• scientific article; zbMATH DE number 2058076
• Semi-Pareto processes
• Pareto distributions
• Pareto and Generalized Pareto Distributions
• Tail dependence of a Pareto process
• Paretian Poisson processes
• The generalized Pareto process; with a view towards application and simulation

Cited in

(36)

• A generalized semi-Pareto minification process
• A logistic process constructed using geometric minimization
• Logistic and semi-logistic processes
• A characterization of the Pareto process among stationary stochastic processes of the form \(X_ n=c\,\min (X_{n-1},Y_ n)\)
• Bivariate semi-Pareto distributions and processes
• Modelling some stationary Markov processes and related characterizations
• A mixed stationary autoregressive model with exponential marginals
• A class of stationary Markov processes
• The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
• Pareto processes
• On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
• scientific article; zbMATH DE number 2129911 (Why is no real title available?)
• Semi-Pareto processes
• A Gini autocovariance function for time series modelling
• scientific article; zbMATH DE number 4109901 (Why is no real title available?)
• Comparison, utility, and partition of dependence under absolutely continuous and singular distributions
• Estimation for the semipareto processes
• Parameter Estimation in Minification Processes
• scientific article; zbMATH DE number 2058076 (Why is no real title available?)
• On generalized semi-Pareto and semi-Burr distributions and random coefficient minification processes
• Marshall-Olkin \(q\)-Weibull distribution and max-min processes
• Generalized Pareto processes and fund liquidity risk
• General multivariate Weibull processes
• On a new generalization of Pareto distribution and its applications
• Tail dependence under sample failures
• A multivariate semi-logistic autoregressive process and its characterization
• scientific article; zbMATH DE number 2222826 (Why is no real title available?)
• scientific article; zbMATH DE number 4186779 (Why is no real title available?)
• A stationary Weibull process and its applications
• Asymptotic properties of extremal Markov processes driven by Kendall convolution
• Marshall-Olkin bivariate Weibull distributions and processes
• Gini autocovariance function used for time series with heavy-tail distributions
• Testing nonlinearity of heavy-tailed time series
• A stationary proportional hazard class process and its applications
• Paretian Poisson processes
• A class of autoregressive processes

This page was built for publication: Pareto processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3806623)