Compound Poisson approximation of the number of exceedances in Gaussian sequences

DOI10.1023/A:1009929800688MaRDI QIDQ1294767zbMATH OpenFDO

Authors Mikael Raab

Publication date 10 August 1999

Published in Extremes (Search for Journal in Brave)

zbMATH Keywords

extreme valuesStein-Chen methodcompound Poisson approximationGaussian sequences\(m\)-dependence

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

Recommendations

• Remarks on compound Poisson approximation of Gaussian random sequences
• Compound Poisson approximation for the distribution of extremes
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Cited in

(9)

• Poisson approximation of the number of exceedances of a discrete-time \(\chi ^ 2\)-process
• On asymptotics of multivariate integrals with applications to records
• Remarks on compound Poisson approximation of Gaussian random sequences
• Poisson approximation using the Stein-Chen method and coupling: Number of exceedances of Gaussian random variables
• Asymptotics and bounds for multivariate Gaussian tails
• Rate of Poisson approximation of the number of exceedances of nonstationary normal sequences
• On the compound Poisson limit for high level exceedances
• On exceedances of high levels
• On multivariate Gaussian tails

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