Probability approximations via the Poisson clumping heuristic
The Poisson clumping heuristic is a technique for obtaining estimates of probabilities associated with extrema. One begins by observing that ``exceptional values of a stochastic process tend to occur in ``clumps, which themselves occur more or less according to a Poisson process. This observation was already proved fruitful in classical extreme value theory, where the process of exceedances plays a prominent role. The chance that the most extreme value is not exceptional can then be written approximately as the probability that no clump of exceptional values occurs, which is just a Poisson probability involving the rate \(\lambda\) of the clump process. Now, if clumps are rare, in the sense that they rarely overlap, the proportion p of values which are exceptional is approximately related to \(\lambda\) by the formula \(p=\lambda E C\), where E C denotes the expected size of the clump. Thus, if p can be calculated (which is often easy) and if E C can be estimated (which is often harder), \(\lambda\) can be determined, and from \(\lambda\) the required probabilities can be deduced. There are various methods for computing E C, among which the harmonic mean formula and the ergodic exit method are prominent. The heuristic is illustrated by a cornucopia of examples, drawn from widely diverse areas of probability theory, ranging from sample path properties of diffusions through geometrical coverage problems to questions concerning combinatorial extrema over very large, but finite sets. Some examples are easy, others very hard: some have been well investigated in the literature, others are quite new. Throughout, the author takes the standpoint that the aim is to compute first and ask questions afterwards - rigour is explicitly played down, even if the arguments used are nonetheless suspiciously carefully motivated. The benefit derived is in the wealth of material which can then be compressed into 270 pages. The book is delightful, stimulating, challenging, overwhelming: so many good problems, so little time... not just something for everyone, more a feast. Sure to be a classic, and deservedly so.
- Poisson approximation in connection with clustering of random points
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- Inequalities for rare events in time-reversible Markov chains. II
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- Extremes of q-Ornstein-Uhlenbeck processes
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- First-passage percolation on Cartesian power graphs
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- Exact solution for the boundary-crossing problem in genetic mapping experiment
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- Strong memoryless times and rare events in Markov renewal point processes.
- Excursions of the workload process in \(G/GI/1\) queues
- Total variation error bounds for geometric approximation
- A Poisson approximation with applications to the number of maxima in a discrete sample
- Approximations for discrete scan statistics on the circle
- On the asymptotics of occurrence times of rare events for stochastic spin systems.
- New approximations for the distribution of the \(r\)-scan statistic
- Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
- Extremes and regular variation
- A conversation with David J. Aldous
- Avoided points of two-dimensional random walks
- Rubber elasticity of polymer networks in explicitly non-Gaussian states. Statistical mechanics and LF-NMR inquiry in hydrogel systems
- Multiple Borel-Cantelli lemma in dynamics and multilog law for recurrence
- On the asymptotic distribution of the scan statistic for empirical distributions
- Approximation of sojourn times of Gaussian processes
- Volatility estimation and jump detection for drift-diffusion processes
- Excessive backlog probabilities of two parallel queues
- Approximating Shepp's constants for the Slepian process
- Assessing genome-wide significance for the detection of differentially methylated regions
- On unbounded invariant measures of stochastic dynamical systems
- Local limit theorems for finite and infinite urn models
- New rates for exponential approximation and the theorems of Rényi and Yaglom
- An approximation to cluster size distribution of two Gaussian random fields conjunction with application to fMRI data
- Waiting for regulatory sequences to appear
- Optimal movement control models of Langevin and Hamiltonian types
- Saddlepoint approximations to p-values for comparison of density estimates
- Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices
- A Gaussian kinematic formula
- Statistics of close visits to the indifferent fixed point of an interval map
- Approximation of sojourn-times via maximal couplings: motif frequency distributions
- Increase of Lévy processes
- Monotone runs of uniformly distributed integer random variables: A probabilistic analysis
- Threshold limits for cover times
- Characterisation of planar Brownian multiplicative chaos
- Randomized allocation processes
- Distinctness of compositions of an integer: A probabilistic analysis
- Derrida's random energy models. From spin glasses to the extremes of correlated random fields
- Between data cleaning and inference: pre-averaging and robust estimators of the efficient price
- Large jumps of q-Ornstein-Uhlenbeck processes
- Poisson approximation and dna sequence matching
- A Compound Poisson Model for Word Occurrences in DNA Sequences
- Multilocus ordering strategies based on sperm typing
- Omnibus sequences, coupon collection, and missing word counts
- On level crossings for a general class of piecewise-deterministic Markov processes
- Large deviations for point processes based on stationary sequences with heavy tails
- Duration Distribution of the Conjunction of Two Independent F Processes
- Scan statistics of Lévy noises and marked empirical processes
- Interacting particle systems as stochastic social dynamics
- Approximating dependent rare events
- Hitting times for random walks on vertex-transitive graphs
- Calculating significance levels when lod scores are maximized over nuisance parameters
- On asymptotic constants in the theory of extremes for Gaussian processes
- Exact and approximate runs distributions
- Cover times, blanket times, and majorizing measures
- Probabilities of Clumps in a Binary Sequence (and How to Evaluate Them Without Knowing a Lot)
- Euler characteristics of oceanic sea states
- Random Sets: Models and Statistics
- On the asymptotics of locally dependent point processes
- Coverage of the whole space
- Compound Poisson approximation and the clustering of random points
- ON EXACT INFERENCE FOR CHANGE IN A POISSON SEQUENCE
- Inferring the Location and Effect of Tumor Suppressor Genes by Instability‐Selection Modeling of Allelic‐Loss Data
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