Approximate Distributions of Clusters of Extremes

J.J.J. Segers

Research output: Working paperDiscussion paperOther research output

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Abstract

In a stationary sequence of random variables, high-threshold exceedances may cluster together.Two approximations of such a clusters distribution are established.These justify and generalize sampling schemes for clusters of extremes already known for Markov chains.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages9
Volume2003-91
Publication statusPublished - 2003

Publication series

NameCentER Discussion Paper
Volume2003-91

Fingerprint

Extremes
Exceedance
Stationary Sequences
Justify
Markov chain
Random variable
Generalise
Approximation

Keywords

  • approximation theory
  • sampling
  • markov chains

Cite this

Segers, J. J. J. (2003). Approximate Distributions of Clusters of Extremes. (CentER Discussion Paper; Vol. 2003-91). Tilburg: Econometrics.
Segers, J.J.J. / Approximate Distributions of Clusters of Extremes. Tilburg : Econometrics, 2003. (CentER Discussion Paper).
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Segers, JJJ 2003 'Approximate Distributions of Clusters of Extremes' CentER Discussion Paper, vol. 2003-91, Econometrics, Tilburg.

Approximate Distributions of Clusters of Extremes. / Segers, J.J.J.

Tilburg : Econometrics, 2003. (CentER Discussion Paper; Vol. 2003-91).

Research output: Working paperDiscussion paperOther research output

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Segers JJJ. Approximate Distributions of Clusters of Extremes. Tilburg: Econometrics. 2003. (CentER Discussion Paper).