EuDML | Browse

Page 1

Displaying 1 – 7 of 7

On extremal dependence of block vectors

Helena Ferreira, Marta Ferreira (2012)

Kybernetika

Due to globalization and relaxed market regulation, we have assisted to an increasing of extremal dependence in international markets. As a consequence, several measures of tail dependence have been stated in literature in recent years, based on multivariate extreme-value theory. In this paper we present a tail dependence function and an extremal coefficient of dependence between two random vectors that extend existing ones. We shall see that in weakening the usual required dependence allows to...

On the difference between the product and the convolution product of distribution functions.

Omey, E. (1994)

Publications de l'Institut Mathématique. Nouvelle Série

On the extremal behavior of a Pareto process: an alternative for ARMAX modeling

Marta Ferreira (2012)

Kybernetika

In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the first order...

On the extremal behavior of sub-sampled solutions of stochastic difference equations.

Scotto, M.G., Turkman, K.F. (2002)

Portugaliae Mathematica. Nova Série

On the limit distributions of kth order statistics for semi-pareto processes

Magdalena Chrapek, Jadwiga Dudkiewicz, Wiesław Dziubdziela (1997)

Applicationes Mathematicae

Asymptotic properties of the kth largest values for semi-Pareto processes are investigated. Conditions for convergence in distribution of the kth largest values are given. The obtained limit laws are represented in terms of a compound Poisson distribution.

On the Mathematical Theory of Records

Alexei Stepanov (2021)

Communications in Mathematics

In the present work, we briefly analyze the development of the mathematical theory of records. We first consider applications associated with records. We then view distributional and limit results for record values and times. We further present methods of generation of continuous records. In the end of this work, we discuss some tests based on records.

On the tail index estimation of an autoregressive Pareto process

Marta Ferreira (2013)

Discussiones Mathematicae Probability and Statistics

In this paper we consider an autoregressive Pareto process which can be used as an alternative to heavy tailed MARMA. We focus on the tail behavior and prove that the tail empirical quantile function can be approximated by a Gaussian process. This result allows to derive a class of consistent and asymptotically normal estimators for the shape parameter. We will see through simulation that the usual estimation procedure based on an i.i.d. setting may fall short of the desired precision.