Approximate distributions of clusters of extremes

Segers, Johan
(2005) Statistics & Probability Letters — Vol. 74, n° 4, p. 330-336 (2005)

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Abstract
In a stationary sequence of random variables, high-threshold exceedances may cluster together. Two approximations of such a cluster's distribution are established. These justify and generalize sampling schemes for clusters of extremes already known for Markov chains.
Affiliations
  • Tilburg University
  • Catholic University Leuven

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Segers, J. (2005). Approximate distributions of clusters of extremes. Statistics & Probability Letters, 74(4), 330-336. https://doi.org/10.1016/j.spl.2005.04.054 (Original work published 2005)