Tail dependence of a Pareto process

DOI10.1007/978-3-319-05323-3_17MaRDI QIDQ5261873zbMATH OpenOpenAlexFDO

Authors Marta Ferreira

Publication date 8 July 2015

Published in New Advances in Statistical Modeling and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-05323-3_17

zbMATH Keywords

extreme valuesheavy-tailed autoregressive processPareto process

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

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Cited in

(8)

• Tail behavior and dependence structure in the APARCH model
• Tail dependence from a distributional point of view
• On tail dependence: a characterization for first-order max-autoregressive processes
• Pareto processes
• On the extremal behavior of a Pareto process: an alternative for ARMAX modeling
• Pareto processes
• Tail dependence under sample failures
• Extremal (in)dependence of a maximum autoregressive process

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