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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2003-91.
Date of creation: 2003
Date of revision:
Contact details of provider:
Web page: http://center.uvt.nl
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)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Richard Broekman).
If references are entirely missing, you can add them using this form.