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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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.
|Research Areas:||Business > Finance & Accounting|
|Citations on ISI Web of Science:||6|
|Deposited On:||28 Nov 2008 15:14|
|Last Modified:||11 Mar 2014 06:12|
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