On exceedances of high levels
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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.
|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|
|Deposited On:||19 Dec 2011 06:23|
|Last Modified:||14 Oct 2015 11:04|
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