Sojourn times and the fragility index
We investigate the sojourn time above a high threshold of a continuous stochastic process Y=(Yt)t∈[0,1]. It turns out that the limit, as the threshold increases, of the expected sojourn time given that it is positive, exists if the copula process corresponding to Y is in the functional domain of attraction of a max-stable process. This limit coincides with the limit of the fragility index corresponding to (Yi/n)1≤i≤n as n and the threshold increase.
Volume (Year): 122 (2012)
Issue (Month): 3 ()
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- Michael Falk & Diana Tichy, 2012. "Asymptotic conditional distribution of exceedance counts: fragility index with different margins," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(5), pages 1071-1085, October.
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