On exceedances of high levels

DOI10.1016/J.SPA.2011.09.003MaRDI QIDQ665441zbMATH OpenOpenAlexFDO

Authors Aihua Xia, S. Yu. Novak

Publication date 5 March 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2011.09.003

zbMATH Keywords

extreme valuestotal variation distancecompound Poisson approximationnegative binomial approximationPoisson cluster process

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05)

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Cited in

(3)

• Compound Poisson approximation
• Stein's method for conditional compound Poisson approximation
• Estimating exceedance probabilities in higher-dimensional space

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