Compound Poisson approximation for the distribution of extremes

DOI10.1239/AAP/1019160958MaRDI QIDQ4547106zbMATH OpenOpenAlexFDO

Authors S. Yu. Novak, Aihua Xia, A. D. Barbour

Publication date 19 February 2003

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1019160958

zbMATH Keywords

compound Poisson processexceedancesextreme valuespoint processesWasserstein metric

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

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Cited in

(20)

• Extreme value theory for dependent sequences via the Stein-Chen method of Poisson approximation
• Optimal upper and lower bounds for the upper tails of compound Poisson processes
• Compound Poisson approximation of the number of exceedances in Gaussian sequences
• On the accuracy of multivariate compound Poisson approximation.
• Remarks on compound Poisson approximation of Gaussian random sequences
• Multilevel clustering of extremes.
• Composite Poisson distribution in theory of deformations and failures
• Compound Poisson approximation for regularly varying fields with application to sequence alignment
• Compound Poisson approximation
• Poisson approximation
• Stein's method for conditional compound Poisson approximation
• Distance estimates for dependent superpositions of point processes
• Rates of convergence for extremes of geometric random variables and marked point processes
• Rare events, temporal dependence, and the extremal index
• Approximation for expectations of unbounded functions of dependent integer-valued random variables
• On the compound Poisson limit for high level exceedances
• scientific article; zbMATH DE number 1295505 (Why is no real title available?)
• On the rate of Poisson process approximation to a Bernoulli process
• Compound Poisson approximation for simple transient random walks in random sceneries
• On exceedances of high levels

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