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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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
ISI Impact: 0
Item ID: 8268
Useful Links:
Depositing User: Devika Mohan
Date Deposited: 19 Dec 2011 06:23
Last Modified: 13 Oct 2016 14:23
URI: http://eprints.mdx.ac.uk/id/eprint/8268

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