Point processes and multivariate extreme values

A new model for point processes is developed which assumes that the interarrival times are exponentially distributed and follow joint multivariate extreme value distributions. It is shown that such processes may arise via natural generating procedures, and that, under very weak assumptions, that they can be approximated as closely as desired by appropriate finite models.

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Year of publication:	1983
Authors:	Deheuvels, Paul
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 13.1983, 2, p. 257-272
Publisher:	Elsevier
Keywords:	Point processes extreme values order statistics Multivariate distributions

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

Persistent link: https://www.econbiz.de/10005152946