Multilevel clustering of extremes

Novak, Serguei (2002) Multilevel clustering of extremes. Stochastic Processes and their Applications, 97 (1). pp. 59-75. ISSN 0304-4149

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Abstract

We investigate asymptotic properties of two-dimensional empirical point processes of exceedances (EPPE). We give an alternative description of the class of possible limit laws. Necessary and sufficient conditions for the weak convergence of one-dimensional EPPEs and complete convergence of two-dimensional EPPEs are established.

Item Type:Article
Research Areas:Middlesex University Schools and Centres > Business School > Accounting and Finance
Citations on ISI Web of Science:6
ID Code:589
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Deposited On:28 Nov 2008 15:14
Last Modified:11 Mar 2014 06:12

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