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

DOI10.1016/j.spl.2010.08.006zbMath1208.60049arXiv1004.4955OpenAlexW2081938035MaRDI QIDQ613169

Serguei Novak, Konstantin A. 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)

Related Items (2)

Compound Poisson approximation ⋮ Clusters of extremes: modeling and examples

Cites Work

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• On the exceedance point process for a stationary sequence
• Extremal theory for stochastic processes
• On level crossings for a general class of piecewise-deterministic Markov processes
• A counterexample concerning the extremal index
• Maxima and exceedances of stationary Markov chains
• Extremes and local dependence in stationary sequences
• Extreme Values in Uniformly Mixing Stationary Stochastic Processes

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