On exceedances of high levels

Novak, Serguei and Xia, A. (2012) On exceedances of high levels. Stochastic Processes and their Applications, 122 (2). pp. 582-599. ISSN 0304-4149

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Official URL: http://dx.doi.org/10.1016/j.spa.2011.09.003

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The distribution of the excess process describing heights of extreme values can be approximated by the distribution of a Poisson cluster process. An estimate of the accuracy of such an approximation has been derived in, in terms of the Wasserstein distance. The paper presents a sharper estimate established in terms of the stronger total variation distance. We derive also a new bound to the accuracy of negative Binomial approximation to the distribution of the number of exceedances.

Item Type:Article
Keywords (uncontrolled):Extreme values; Poisson cluster process; Compound Poisson approximation; Negative Binomial approximation; total variation distance
Research Areas:A. > School of Science and Technology > Design Engineering and Mathematics
Citations on ISI Web of Science:0
ID Code:8268
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Deposited On:19 Dec 2011 06:23
Last Modified:14 Oct 2015 11:04

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