Pareto processes (Q2734959)

This paper is a survey of results on distributional properties of Pareto variables and stationary Pareto processes. The author concentrates on the autoregressive Pareto processes, which provide reasonable alternatives to the classical normal autoregressive processes. Pareto distributions play the role played by normal distributions and geometric minimization or multiplication replaces addition in modeling dependence among observations. The autoregressive Pareto processes can be used to model time series with heavy tailed marginals.NEWLINENEWLINENEWLINESection headings: 1. Introduction; 2. Distributional properties of Pareto variables; 3. Multivariate Pareto distributions; 4. Pareto processes; 5. Autoregressive classical Pareto processes; 6. Autoregressive Pareto (III) processes; 7. Extensions and modifications; 8. Related processes.NEWLINENEWLINEFor the entire collection see [Zbl 0961.60001].