Waiting times of exceedances in random threshold models

DOI10.1016/J.SPL.2008.10.020MaRDI QIDQ1007359zbMATH OpenOpenAlexFDO

Authors Ismihan Bayramoglu, Serkan Eryilmaz

Publication date 20 March 2009

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2008.10.020

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Order statistics; empirical distribution functions (62G30)

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Cited in

(5)

• A Space-Time Skew-t Model for Threshold Exceedances
• Joint behaviour of precedences and exceedances in random threshold models
• Tricomi and Kummer functions in occurrence, waiting time and exceedance statistics
• Modeling of claim exceedances over random thresholds for related insurance portfolios
• Time spent below a random threshold by a Poisson driven sequence of observations

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