Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/20858

TitleTail dependence of a pareto process
Author(s)Ferreira, Marta Susana
KeywordsExtreme value theory
Markov chains
Autoregressive processes
Tail dependence
Issue date19-Nov-2012
Abstract(s)Heavy-tailed autoregressive processes defined with minimum or maximum operator are good alternatives to classic linear ARMA with heavy tail noises, in what concerns extreme values modeling. In this paper we present a full characterization of the tail dependence of the autoregressive minima process, Yeh-Arnold-Robertson Pareto(III).
TypeConference paper
URIhttp://hdl.handle.net/1822/20858
Peer-Reviewedyes
AccessRestricted access (UMinho)
Appears in Collections:CMAT - Artigos em atas de conferências e capítulos de livros com arbitragem / Papers in proceedings of conferences and book chapters with peer review

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