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
Type | Article |
---|---|
Title | On exceedances of high levels |
Authors | Novak, 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. |
Keywords | Extreme values; Poisson cluster process; Compound Poisson approximation; Negative Binomial approximation; total variation distance |
Publisher | Elsevier |
Journal | Stochastic Processes and their Applications |
ISSN | 0304-4149 |
Publication dates | |
Feb 2012 | |
Publication process dates | |
Deposited | 19 Dec 2011 |
Output status | Published |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.spa.2011.09.003 |
Language | English |
Permalink -
https://repository.mdx.ac.uk/item/83783
54
total views0
total downloads0
views this month0
downloads this month