Extremes of Random Sequences

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 9 in Laws of Small Numbers: Extremes and Rare Events, 2011, pp 357-380 from Springer

Abstract: Abstract We develop the general theory of extremes and exceedances of high boundaries by non-stationary random sequences. Of main interest is the asymptotic convergence of the point processes of exceedances or of clusters of exceedances. These results are then applied for special cases, as stationary, independent and particular nonstationary random sequences.

Keywords: Poisson Process; Point Process; Random Sequence; Local Dependence; Extremal Index (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/978-3-0348-0009-9_9

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