On limiting cluster size distributions for processes of exceedances for stationary sequences.

Borovkov, Konstantin and Novak, Serguei (2010) On limiting cluster size distributions for processes of exceedances for stationary sequences. Statistics & Probability Letters, 80 (23-24). pp. 1814-1818. ISSN 0167-7152

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Abstract

It is well known that, under broad assumptions, the time-scaled point process of exceedances of a high level by a stationary sequence converges to a compound Poisson process as the level grows. The purpose of this note is to demonstrate that, for any given distribution G on , there exists a stationary sequence for which the compounding law of this limiting process of exceedances will coincide with G.

Item Type: Article
Research Areas: A. > School of Science and Technology > Design Engineering and Mathematics
ISI Impact: 0
Item ID: 6923
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Depositing User: Repository team
Date Deposited: 24 Jan 2011 16:22
Last Modified: 13 Oct 2016 14:22
URI: http://eprints.mdx.ac.uk/id/eprint/6923

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