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.

Actions (login required)

View Item

Statistics

DownloadsShow export options

Export as CSVXMLJSON

Activity Overview

6 month trend

0Downloads

6 month trend

392Hits

Additional statistics are available via IRStats2.