Compound poisson approximation for the distribution of extremes
Full text is not in this repository.
This item is available in the Library Catalogue
Empirical point processes of exceedances play an important role in extreme value theory, and their limiting behaviour has been extensively studied. Here, we provide explicit bounds on the accuracy of approximating an exceedance process by a compound Poisson or Poisson cluster process, in terms of a Wasserstein metric that is generally more suitable for the purpose than the total variation metric. The bounds only involve properties of the finite, empirical sequence that is under consideration, and not of any limiting process. The argument uses Bernstein blocks and Lindeberg's method of compositions.
|Research Areas:||A. > School of Science and Technology > Design Engineering and Mathematics|
|Citations on ISI Web of Science:||4|
|Deposited On:||25 Mar 2009 12:01|
|Last Modified:||24 Mar 2015 10:45|
Repository staff only: item control page
Full text downloads (NB count will be zero if no full text documents are attached to the record)
Downloads per month over the past year