Rare-event asymptotics for the number of exceedances of multiplicative factor models
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Publication:497492
DOI10.1007/s10687-015-0222-4zbMath1327.60091OpenAlexW950514905MaRDI QIDQ497492
Publication date: 24 September 2015
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-015-0222-4
asymptotic conditional distributionsmultiplicative factor modelsnumber of exceedancesrare-event asymptotics
Extreme value theory; extremal stochastic processes (60G70) Large deviations (60F10) Limit theorems in probability theory (60F99)
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- On extreme values in stationary sequences
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