Davis, Richard A.; Mikosch, Thomas - In: Stochastic Processes and their Applications 118 (2008) 4, pp. 560-584
Many real-life time series exhibit clusters of outlying observations that cannot be adequately modeled by a Gaussian distribution. Heavy-tailed distributions such as the Pareto distribution have proved useful in modeling a wide range of bursty phenomena that occur in areas as diverse as finance,...