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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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.
|Research Areas:||A. Middlesex University Schools and Centres > School of Science and Technology > Design Engineering and Mathematics|
|Citations on ISI Web of Science:||0|
|Deposited On:||24 Jan 2011 16:22|
|Last Modified:||18 Feb 2015 13:28|
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