On limiting cluster size distributions for processes of exceedances for stationary sequences.
Borovkov, Konstantin and Novak, Serguei ORCID: 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 |
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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 |
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