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Dependence Structure of Spatial Extremes Using Threshold Approach
Dependence Structure Spatial Extremes Threshold Approach
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2012/11/23
The analysis of spatial extremes requires the joint modeling of a spatial process at a large number of stations and max-stable processes have been developed as a class of stochastic processes suitable...
Dependence structure of stable R-GARCH processes
Dependence structure stable R-GARCH processes
<
2009/9/21
In this pper we invastipte properties of R-GARCH
procmses with ppositivr: steictcrly stab innovations. We derive the uzxconditiond
distributions and analyze the dependcect: structure;. This
at3alys...
THE DEPENDENCE STRUCTURE OF THE FRACTIONAL 0RNSTEIN-UE%EENBECK PROCESS
Long-range dependence stable processes Ornstein-Uhlenbeck process
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2009/9/18
Let X(t) be a fractional Lbvy motion ol Bemann-
Liouville type and let Y(t) be a corresponding fractional stable
Ornstein-Uhlenbeck process obtained through the Lamperti transformation
of X (t). We...