Approximate Distributions of Clusters of Extremes
AbstractIn 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.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2003-91.
Date of creation: 2003
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approximation theory; sampling; markov chains;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-12-07 (All new papers)
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