The Lawrence-Lewis Pareto process: an extremal approach
收藏DataCite Commons2020-09-18 更新2025-04-16 收录
下载链接：
http://siba-ese.unisalento.it/index.php/ejasa/article/view/14912/13752
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资源简介：
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 tools and new estimators for the autoregressive parameter of the process. Based on a simulation study we will see that the new methods may be good alternatives in what concerns robustness.
提供机构：
University of Salento
创建时间：
2017-04-27
