Extremes and Exceedance Measures for Continuous Parameter Stationary Processes

M. R. Leadbetter
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M. R. Leadbetter: University of North Carolina

A chapter in Extreme Value Theory and Applications, 1994, pp 371-388 from Springer

Abstract: Abstract This paper attempts to provide a coherent overview of various existing methods (with some new results) concerning extremes of continuous parameter stationary processes. This involves (1) the extension of classical extreme value theory to describe maxima of stationary processes in continuous time and (2) the more general question of modeling repeated excursions by the process above high levels and consequent measures of exceedance (or “damage”). While general theorems are given the comparisons are primarily made and exemplified for Gaussian processes, for which the most detailed specific results are available.

Keywords: Point Process; Gaussian Process; Sojourn Time; Cluster Size Distribution; Stationary Gaussian Process (search for similar items in EconPapers)
Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-3638-9_22

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DOI: 10.1007/978-1-4613-3638-9_22

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