On limiting cluster size distributions for processes of exceedances for stationary sequences

Konstantin Borovkov and Serguei Novak

Statistics & Probability Letters, 2010, vol. 80, issue 23-24, 1814-1818

Abstract: It is well known that, under broad assumptions, the time-scaled point process of exceedances of a high level by a stationary sequence converges to a compound Poisson process as the level grows. The purpose of this note is to demonstrate that, for any given distribution G on , there exists a stationary sequence for which the compounding law of this limiting process of exceedances will coincide with G.

Keywords: Stationary; sequences; Extreme; value; clustering; Regenerative; processes (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (2)

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