Rates of convergence for extremes of geometric random variables and marked point processes

DOI10.1007/S10687-015-0229-XzbMATH Open1382.60078arXiv1503.09160OpenAlexW2253059967MaRDI QIDQ262541FDOQ262541

Authors: Alessandra Cipriani, Anne Feidt 

Publication date: 30 March 2016

Published in: Extremes (Search for Journal in Brave)

Abstract: We use the Stein-Chen method to study the extremal behaviour of the problem of extremes for univariate and bivariate geometric laws. We obtain a rate for the convergence to the Gumbel distribution of the law of the maximum of i. i. d. geometric random variables, and show that convergence is faster when approximating by a discretised Gumbel. We similarly find a rate of convergence for the law of maxima of bivariate Marshall-Olkin geometric random pairs when approximating by a discrete limit law. We introduce marked point processes of exceedances (MPPEs), both with univariate and bivariate Marshall-Olkin geometric variables as marks and we determine bounds on the error of the approximation, in an appropriate probability metric, of the law of the MPPE by that of a Poisson process with same mean measure. We then approximate by another Poisson process with an easier-to-use mean measure and estimate the error of this additional approximation. This work contains and extends results contained in the second author's PhD thesis (available at arXiv:1310.2564) under the supervision of Andrew D. Barbour.

Full work available at URL: https://arxiv.org/abs/1503.09160

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zbMATH Keywords

marked point process of extremesMarshall-Olkin geometric distributionmaxima of geometric random variablesPoisson approximationStein-Chen method

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Extreme value theory; extremal stochastic processes (60G70)

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Cited In (4)

• Title not available (Why is that?)
• A note on the existence of Gibbs marked point processes with applications in stochastic geometry
• A note on converging geometric-type processes
• Extremes of geometric variables with applications to branching processes.

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