Approximate Distributions of Clusters of Extremes

J.J.J. Segers

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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

Keywords

  • approximation theory
  • sampling
  • markov chains

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