Abstract
| Original language | English |
|---|---|
| Place of Publication | Tilburg |
| Publisher | Econometrics |
| Number of pages | 9 |
| Volume | 2003-91 |
| Publication status | Published - 2003 |
Publication series
| Name | CentER Discussion Paper |
|---|---|
| Volume | 2003-91 |
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Keywords
- approximation theory
- sampling
- markov chains
Cite this
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Approximate Distributions of Clusters of Extremes. / Segers, J.J.J.
Tilburg : Econometrics, 2003. (CentER Discussion Paper; Vol. 2003-91).Research output: Working paper › Discussion paper › Other research output
TY - UNPB
T1 - Approximate Distributions of Clusters of Extremes
AU - Segers, J.J.J.
N1 - Pagination: 9
PY - 2003
Y1 - 2003
N2 - 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.
AB - 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.
KW - approximation theory
KW - sampling
KW - markov chains
M3 - Discussion paper
VL - 2003-91
T3 - CentER Discussion Paper
BT - Approximate Distributions of Clusters of Extremes
PB - Econometrics
CY - Tilburg
ER -