Sojourn times and the fragility index

DOI10.1016/J.SPA.2011.11.009MaRDI QIDQ765893zbMATH OpenOpenAlexFDO

Authors Michael Falk, Martin Hofmann

Publication date 22 March 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.5696

zbMATH Keywords

expected shortfallmax-stable processsojourn timeexcursion timecopula processfunctional domain of attractiongeneralized Pareto processfragility index

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Stationary stochastic processes (60G10) Limit theorems in probability theory (60F99)

Abstract: We investigate the sojourn time above a high threshold of a continuous stochastic process Y on [0,1]. It turns out that the limit, as the threshold increases, of the expected sojourn time given that it is positive, exists if the copula process corresponding to Y is in the functional domain of attraction of of an extreme value process. This limit coincides with the limit of the fragility index corresponding to finite (n-)dimensional distributions of Y as n and the threshold increase. If the process is in a certain neighborhood of a generalized Pareto process, then we can replace the constant threshold by a general threshold function and we can compute the asymptotic sojourn time distribution. An extreme value process is a prominent example. Given that there is an exceedance at some t_0 above the threshold, we can also compute the asymptotic distribution of the time cluster length, which the process spends above the threshold function.

Recommendations

• Sojourn times of Gaussian processes with trend
• Asymptotic conditional distribution of exceedance counts: fragility index with different margins
• Sojourns of stationary processes in rare sets
• Asymptotic conditional distribution of exceedance counts
• Approximation of sojourn times of Gaussian processes

Cites work

• scientific article; zbMATH DE number 107615 (Why is no real title available?)
• A multivariate piecing-together approach with an application to operational loss data
• Asymptotic conditional distribution of exceedance counts
• Extreme value theory. An introduction.
• On convergence toward an extreme value distribution in \(C[0,1]\)
• On max-stable processes and the functional D-norm
• On spatial extremes: with application to a rainfall problem
• On the excursion random measure of stationary processes
• Theory of Random Sets
• max-infinitely divisible and max-stable sample continuous processes

Cited in

(2)

• Testing for a \(\delta \)-neighborhood of a generalized Pareto copula
• Asymptotic conditional distribution of exceedance counts: fragility index with different margins

This page was built for publication: Sojourn times and the fragility index

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q765893)