On exceedances of high levels
Novak, Serguei ORCID: https://orcid.org/0000-0001-7929-7641 and Xia, A.
(2012)
On exceedances of high levels.
Stochastic Processes and their Applications, 122
(2)
.
pp. 582-599.
ISSN 0304-4149
[Article]
(doi:10.1016/j.spa.2011.09.003)
Abstract
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.
Item Type: | Article |
---|---|
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 |
ISI Impact: | 0 |
Item ID: | 8268 |
Useful Links: | |
Depositing User: | Devika Mohan |
Date Deposited: | 19 Dec 2011 06:23 |
Last Modified: | 13 Oct 2016 14:23 |
URI: | https://eprints.mdx.ac.uk/id/eprint/8268 |
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