Nonconstant levels for T-year return periods for two-dimensional Poisson processes with periodic intensity

Rocco Ballerini

Statistics & Probability Letters, 1995, vol. 22, issue 1, 43-47

Abstract: A method is presented for approximating a nonconstant seasonal boundary which yields an exceedance probability of 1/T for each yearly maximum. The time of events and their magnitudes are assumed to form a two-dimensional Poisson process with the times of events themselves forming a one-dimensional nonhomogeneous Poisson process with periodic intensity function. The boundary is computed via the norming function required for the conditional distribution of the magnitudes to be in the maximal domain of attraction of one of the three extremal types.

Keywords: Poisson; process; Extreme; values; Return; periods (search for similar items in EconPapers)
Date: 1995
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