Speed of convergence for laws of rare events and escape rates

Ana Cristina Moreira Freitas, Jorge Milhazes Freitas and Mike Todd

Stochastic Processes and their Applications, 2015, vol. 125, issue 4, 1653-1687

Abstract: We obtain error terms on the rate of convergence to Extreme Value Laws, and to the asymptotic Hitting Time Statistics, for a general class of weakly dependent stochastic processes. The dependence of the error terms on the ‘time’ and ‘length’ scales is very explicit. Specialising to data derived from a class of dynamical systems we find even more detailed error terms, one application of which is to consider escape rates through small holes in these systems.

Keywords: Extreme value theory; Return time statistics; Stationary stochastic processes; Metastability (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2014.11.011

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