On limiting cluster size distributions for processes of exceedances for stationary sequences

DOI10.1016/J.SPL.2010.08.006MaRDI QIDQ613169zbMATH OpenOpenAlexFDO

Authors S. Yu. Novak, K. Borovkov

Publication date 20 December 2010

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

Full work available at URL https://arxiv.org/abs/1004.4955

zbMATH Keywords

stationary sequencesregenerative processesextreme value clustering

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Discrete-time Markov processes on general state spaces (60J05) Markov renewal processes, semi-Markov processes (60K15) Renewal theory (60K05)

Abstract: It is well known that, under broad assumptions, the time-scaled point process of exceedances of a high level by a stationary sequence converges to a compound Poisson process as the level grows. The purpose of this note is to demonstrate that, for any given distribution G on the natural numbers, there exists a stationary sequence for which the compounding law of this limiting process of exceedances will coincide with G.

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Cites work

• scientific article; zbMATH DE number 1199736 (Why is no real title available?)
• A counterexample concerning the extremal index
• Advances in extreme value theory with applications to finance.
• Extremal theory for stochastic processes
• Extreme Values in Uniformly Mixing Stationary Stochastic Processes
• Extremes and local dependence in stationary sequences
• Maxima and exceedances of stationary Markov chains
• On level crossings for a general class of piecewise-deterministic Markov processes
• On the exceedance point process for a stationary sequence

Cited in

(10)

• Approximate distributions of clusters of extremes
• Compound Poisson approximation
• High level exceedances in stationary sequences with extremal index
• Some limit theorems for clustered occupancy models
• On clusters of high extremes of Gaussian stationary processes with \(\epsilon \)-separation
• On extremes of random clusters and marked renewal cluster processes
• A cluster-limit theorem for infinitely divisible point processes
• On the exceedance point process for a stationary sequence
• Clusters of extremes: modeling and examples
• Inference for the limiting cluster size distribution of extreme values

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