On exceedances of high levels
Full text is not in this repository.
Official URL: http://dx.doi.org/10.1016/j.spa.2011.09.003
This item is available in the Library Catalogue
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:||Middlesex University Schools and Centres > 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:||07 Nov 2014 16:27|
Repository staff only: item control page
Full text downloads (NB count will be zero if no full text documents are attached to the record)
Downloads per month over the past year