On exceedances of high levels

Article

Novak, S. and Xia, A. 2012. On exceedances of high levels. Stochastic Processes and their Applications. 122 (2), pp. 582-599. https://doi.org/10.1016/j.spa.2011.09.003
TypeArticle
TitleOn exceedances of high levels
AuthorsNovak, S. and Xia, A.
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.

KeywordsExtreme values; Poisson cluster process; Compound Poisson approximation; Negative Binomial approximation; total variation distance
PublisherElsevier
JournalStochastic Processes and their Applications
ISSN0304-4149
Publication dates
PrintFeb 2012
Publication process dates
Deposited19 Dec 2011
Output statusPublished
Digital Object Identifier (DOI)https://doi.org/10.1016/j.spa.2011.09.003
LanguageEnglish
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