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 |
Actions (login required)
 |
View Item |
Statistics
Additional statistics are available via IRStats2.
CORE (COnnecting REpositories)
CORE (COnnecting REpositories)