Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/46971
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Campo DC | Valor | Idioma |
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dc.contributor.author | Ferreira, Marta Susana | por |
dc.contributor.author | Ferreira, Helena | por |
dc.date.accessioned | 2017-11-02T14:14:41Z | - |
dc.date.available | 2017-11-02T14:14:41Z | - |
dc.date.issued | 2017 | - |
dc.identifier.issn | 2227-9091 | por |
dc.identifier.uri | https://hdl.handle.net/1822/46971 | - |
dc.description.abstract | Pareto processes are suitable to model stationary heavy-tailed data. Here, we consider the auto-regressive Gaver–Lewis Pareto Process and address a study of the tail behavior. We characterize its local and long-range dependence. We will see that consecutive observations are asymptotically tail independent, a feature that is often misevaluated by the most common extremal models and with strong relevance to the tail inference. This also reveals clustering at “penultimate” levels. Linear correlation may not exist in a heavy-tailed context and an alternative diagnostic tool will be presented. The derived properties relate to the auto-regressive parameter of the process and will provide estimators. A comparison of the proposals is conducted through simulation and an application to a real dataset illustrates the procedure. | por |
dc.description.sponsorship | The authors wish to thank the reviewers for their important comments that have improved this work. The first was financed by Portuguese Funds through FCT—Fundação para a Ciência e a Tecnologia within the Project UID/MAT/00013/2013 and by the research center CEMAT (Instituto Superior Técnico, Universidade de Lisboa) through the Project UID/Multi/04621/2013. The second author’s research was partially supported by the research unit UID/MAT/00212/2013. | por |
dc.language.iso | eng | por |
dc.publisher | MDPI | por |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147370/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147271/PT | por |
dc.relation | info:eu-repo/grantAgreement/FCT/5876/147408/PT | por |
dc.rights | openAccess | por |
dc.subject | Extreme value theory | por |
dc.subject | Autoregressive processes | por |
dc.subject | Extremal index | por |
dc.subject | Asymptotic tail independence | por |
dc.title | Analyzing the Gaver-Lewis Pareto process under an extremal perspective | por |
dc.type | article | por |
dc.peerreviewed | yes | por |
oaire.citationIssue | 33 | por |
oaire.citationVolume | 5 | por |
dc.identifier.doi | 10.3390/risks5030033 | por |
dc.subject.fos | Ciências Naturais::Matemáticas | por |
dc.description.publicationversion | info:eu-repo/semantics/publishedVersion | por |
dc.subject.wos | Social Sciences | por |
sdum.journal | Risks | por |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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risks-05-00033-v2 (1).pdf | 591,21 kB | Adobe PDF | Ver/Abrir |