On limiting cluster size distributions for processes of exceedances for stationary sequences.

Borovkov, Konstantin and Novak, Serguei ORCID logoORCID: https://orcid.org/0000-0001-7929-7641 (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 [Article] (doi:10.1016/j.spl.2010.08.006)

Abstract

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.

Item Type: Article
Research Areas: A. > School of Science and Technology > Design Engineering and Mathematics
ISI Impact: 0
Item ID: 6923
Useful Links:
Depositing User: Repository team
Date Deposited: 24 Jan 2011 16:22
Last Modified: 13 Oct 2016 14:22
URI: https://eprints.mdx.ac.uk/id/eprint/6923

Actions (login required)

View Item View Item

Statistics

Activity Overview
6 month trend
0Downloads
6 month trend
345Hits

Additional statistics are available via IRStats2.