scientific article; zbMATH DE number 1295505

MaRDI QIDQ4248199zbMATH OpenFDO

Authors Helena Ferreira

Publication date 6 December 1999

Full work available at URL https://eudml.org/doc/48307

zbMATH Keywords

doubly stochastic Poisson processesexceedancesextreme values

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Review text

For some rv \( X \) and a sequence of rv's \( \{ X_n \} \) denote the family of conditional distributions given \( X=x \) by \( P_x \). Let \( \{ X^x_n \} \) be the corresponding sequence with distribution determined by \( P_x \). If for a properly chosen sequence \( \{ u_n \} \) of real numbers the conditional point processes of exceedances \[ S_n[X^x_n,u_n](.) = \sum_{i=1}^n 1_{ \{X^x_i>u_n\} } \delta_{i/n}(.) \] converge to a point process \( S^x\;\forall x \in \text{Supp }X \), then the sequence \( S_n[X_n,u_n] \) converges in distribution to a point process the distribution of which is a mixture of the distributions of \( S^x \) regulated by the distribution of \( X \). This main result of the paper is illustrated by examples concerning some max-autoregressive processes.

Recommendations

• Limit distributions for point processes of exceedances of random levels
• Compound Poisson approximation for the distribution of extremes
• On the exceedance point process for a stationary sequence

Cited in

(2)

• Convergence of marked point processes of excesses for dynamical systems
• The extremes of random walks in random sceneries

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