Multivariate Extremes: Supplementary Concepts and Results

Michael Falk (), Jürg Hüsler () and Rolf-Dieter Reiss ()
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Michael Falk: University of Würzburg, Institute of Mathematics
Jürg Hüsler: University of Berne, Department of Mathematical Statistics and Actuarial Science
Rolf-Dieter Reiss: University of Siegen, Department of Mathematics

Chapter Chapter 7 in Laws of Small Numbers: Extremes and Rare Events, 2011, pp 311-340 from Springer

Abstract: Abstract In this chapter we will deal with exceedances and upper order statistics (besides maxima), with the point process approach being central for these investigations. Extremes will be asymptotically represented by means of Poisson processes with intensity measures given by max-Lévy measures as introduced in Section 4.3.

Keywords: Poisson Process; Point Process; Empirical Process; Generalize Pareto Distribution; Central Sequence (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-0348-0009-9_7

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