# Extremal and additive processes generated by Pareto distributed random vectors

Kosto V. Mitov; Saralees Nadarajah

ESAIM: Probability and Statistics (2014)

- Volume: 18, page 667-685
- ISSN: 1292-8100

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topMitov, Kosto V., and Nadarajah, Saralees. "Extremal and additive processes generated by Pareto distributed random vectors." ESAIM: Probability and Statistics 18 (2014): 667-685. <http://eudml.org/doc/274388>.

@article{Mitov2014,

abstract = {Pareto distributions are most popular for modeling heavy tailed data. Here, we obtain weak limits of a sequence of extremal and a sequence of additive processes constructed by a series of Bernoulli point processes with bivariate Pareto space components. For the limiting processes we derive the one dimensional distributions in explicit forms. Some of the main properties of these distributions are also proved.},

author = {Mitov, Kosto V., Nadarajah, Saralees},

journal = {ESAIM: Probability and Statistics},

keywords = {additive process; extremal process; limit theorems; pareto distribution; Pareto distribution},

language = {eng},

pages = {667-685},

publisher = {EDP-Sciences},

title = {Extremal and additive processes generated by Pareto distributed random vectors},

url = {http://eudml.org/doc/274388},

volume = {18},

year = {2014},

}

TY - JOUR

AU - Mitov, Kosto V.

AU - Nadarajah, Saralees

TI - Extremal and additive processes generated by Pareto distributed random vectors

JO - ESAIM: Probability and Statistics

PY - 2014

PB - EDP-Sciences

VL - 18

SP - 667

EP - 685

AB - Pareto distributions are most popular for modeling heavy tailed data. Here, we obtain weak limits of a sequence of extremal and a sequence of additive processes constructed by a series of Bernoulli point processes with bivariate Pareto space components. For the limiting processes we derive the one dimensional distributions in explicit forms. Some of the main properties of these distributions are also proved.

LA - eng

KW - additive process; extremal process; limit theorems; pareto distribution; Pareto distribution

UR - http://eudml.org/doc/274388

ER -

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