Multivariate Extremes: Supplementary Concepts and Results

Michael Falk (), Rolf-Dieter Reiss () and Jürg Hüsler ()
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Michael Falk: University of Würzburg, Institute of Applied Mathematics and Statistics
Rolf-Dieter Reiss: University of Siegen, Department of Mathematics
Jürg Hüsler: University of Berne, Department of Mathematical Statistics and Actuarial Science

Chapter Chapter 7 in Laws of Small Numbers: Extremes and Rare Events, 2004, pp 203-232 from Springer

Abstract: Abstract In this chapter we will deal with exceedances and upper order statistics (besides maxima), with the point process approach being central for these investigations. Extremes will be asymptotically represented by means of Poisson processes with intensity measures given by max-Lévy measures as introduced in Section 4.3.

Keywords: Poisson Process; Empirical Process; Generalize Pareto Distribution; Central Sequence; Kernel Density Estimator (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-0348-7791-6_7

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DOI: 10.1007/978-3-0348-7791-6_7

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