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.
|Place of Publication||Tilburg|
|Number of pages||9|
|Publication status||Published - 2003|
|Name||CentER Discussion Paper|
- approximation theory
- markov chains