Title of article
On exceedances of high levels
Author/Authors
Novak، نويسنده , , S.Y. and Xia، نويسنده , , A.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
18
From page
582
To page
599
Abstract
The distribution of the excess process describing heights of extreme values can be approximated by the distribution of a Poisson cluster process. An estimate of the accuracy of such an approximation has been derived in [4] in terms of the Wasserstein distance. The paper presents a sharper estimate established in terms of the stronger total variation distance. We derive also a new bound to the accuracy of negative Binomial approximation to the distribution of the number of exceedances.
Keywords
Extreme values , Poisson cluster process , Compound Poisson approximation , Negative Binomial approximation , Total variation distance
Journal title
Stochastic Processes and their Applications
Serial Year
2012
Journal title
Stochastic Processes and their Applications
Record number
1578502
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