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

Article

Borovkov, K. and Novak, S. 2010. On limiting cluster size distributions for processes of exceedances for stationary sequences. Statistics & Probability Letters. 80 (23-24), pp. 1814-1818. https://doi.org/10.1016/j.spl.2010.08.006
TypeArticle
TitleOn limiting cluster size distributions for processes of exceedances for stationary sequences.
AuthorsBorovkov, K. and Novak, S.
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.

PublisherElsevier
JournalStatistics & Probability Letters
ISSN0167-7152
Publication dates
PrintDec 2010
Publication process dates
Deposited24 Jan 2011
Output statusPublished
Digital Object Identifier (DOI)https://doi.org/10.1016/j.spl.2010.08.006
LanguageEnglish
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