Ratios of ordered points of point processes with regularly varying intensity measures
Yuguang Ipsen,
Ross Maller and
Sidney Resnick
Stochastic Processes and their Applications, 2019, vol. 129, issue 1, 205-222
Abstract:
We study limiting properties of ratios of ordered points of point processes whose intensity measures have regularly varying tails, giving a systematic treatment which points the way to “large-trimming” properties of extremal processes and a variety of applications. Our point process approach facilitates a connection with the negative binomial process of Gregoire (1984) and consequently to certain generalised versions of the Poisson–Dirichlet distribution.
Keywords: Regular variation; Poisson points; Lévy process; Negative binomial; Trimming; Order statistics (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:1:p:205-222
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DOI: 10.1016/j.spa.2018.02.015
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