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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...
Persistent link: https://www.econbiz.de/10011687902
The family of Liouville copulas is defined as the survival copulas of multivariate Liouville distributions, and it covers the Archimedean copulas constructed by Williamson’s d-transform. Liouville copulas provide a very wide range of dependence ranging from positive to negative dependence in...
Persistent link: https://www.econbiz.de/10011556499
Log-concavity and log-convexity play a key role in various scientific fields, especially in those where the distinction between exponential and non-exponential distributions is necessary for inferential purposes. In the present study, we introduce a testing procedure for the tail part of a...
Persistent link: https://www.econbiz.de/10014391555