Approximate distributions of clusters of extremes

Johan Segers

Statistics & Probability Letters, 2005, vol. 74, issue 4, 330-336

Abstract: In a stationary sequence of random variables, high-threshold exceedances may cluster together. Two approximations of such a cluster's distribution are established. These justify and generalize sampling schemes for clusters of extremes already known for Markov chains.

Keywords: Cluster; of; extremes; Extremal; index; Stationary; sequence; Threshold; exceedance; Maximum (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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