Sojourn times and the fragility index

DOI10.1016/J.SPA.2011.11.009zbMATH Open1247.60073arXiv1107.5696OpenAlexW2090270779MaRDI QIDQ765893FDOQ765893

Martin Hofmann, Michael Falk

Publication date: 22 March 2012

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

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.

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)

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Cited In (1)

• Testing for a \(\delta \)-neighborhood of a generalized Pareto copula

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