Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/34775

TitleTail dependence of a pareto process
Author(s)Ferreira, Marta Susana
Issue dateApr-2014
PublisherSpringer
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).
TypeBook part
URIhttp://hdl.handle.net/1822/34775
ISBN978-3-319-05323-3
978-3-319-05322-6
DOI10.1007/978-3-319-05323-3_17
Publisher versionhttp://link.springer.com/chapter/10.1007/978-3-319-05323-3_17
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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