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  • Search: subject:"Tail probability estimation"
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Extreme value theory 1 Max-stable processes 1 Pareto distribution 1 Spatial dependence 1 Tail probability estimation 1
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Ferreira, Ana 1 Zhou, Chen 1 de Haan, Laurens 1
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Journal of Multivariate Analysis 1
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Exceedance probability of the integral of a stochastic process
Ferreira, Ana; de Haan, Laurens; Zhou, Chen - In: Journal of Multivariate Analysis 105 (2012) 1, pp. 241-257
Let X={X(s)}s∈S be an almost sure continuous stochastic process (S compact subset of Rd) in the domain of attraction of some max-stable process, with index function constant over S. We study the tail distribution of ∫SX(s)ds, which turns out to be of Generalized Pareto type with an extra...
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