Multilevel clustering of extremes

We investigate asymptotic properties of two-dimensional empirical point processes of exceedances (EPPE). We give an alternative description of the class of possible limit laws. Necessary and sufficient conditions for the weak convergence of one-dimensional EPPEs and complete convergence of two-dimensional EPPEs are established.

MoreLess

Year of publication:	2002
Authors:	Novak, S. Y.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 97.2002, 1, p. 59-75
Publisher:	Elsevier
Keywords:	Extreme values Point processes Complete convergence

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875531