Geodesic
Extremal and additive processes generated by Pareto distributed random vectors
ESAIM: Probability and Statistics, Tome 18 (2014), pp. 667-685

Voir la notice de l'article provenant de la source Numdam

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.

DOI : 10.1051/ps/2014001
Classification : 62E20
Keywords: additive process, extremal process, limit theorems, pareto distribution 
Mitov, Kosto V.; Nadarajah, Saralees. Extremal and additive processes generated by Pareto distributed random vectors. ESAIM: Probability and Statistics, Tome 18 (2014), pp. 667-685. doi: 10.1051/ps/2014001
@article{PS_2014__18__667_0,
     author = {Mitov, Kosto V. and Nadarajah, Saralees},
     title = {Extremal and additive processes generated by {Pareto} distributed random vectors},
     journal = {ESAIM: Probability and Statistics},
     pages = {667--685},
     year = {2014},
     publisher = {EDP-Sciences},
     volume = {18},
     doi = {10.1051/ps/2014001},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2014001/}
}
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
SP  - 667
EP  - 685
VL  - 18
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/ps/2014001/
DO  - 10.1051/ps/2014001
LA  - en
ID  - PS_2014__18__667_0
ER  - 
%0 Journal Article
%A Mitov, Kosto V.
%A Nadarajah, Saralees
%T Extremal and additive processes generated by Pareto distributed random vectors
%J ESAIM: Probability and Statistics
%D 2014
%P 667-685
%V 18
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/ps/2014001/
%R 10.1051/ps/2014001
%G en
%F PS_2014__18__667_0

Cité par Sources :