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Poisson approximation of the number of exceedances of a discrete-time x2-process

✍ Scribed by Mikael Raab

Book ID
108432964
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
773 KB
Volume
66
Category
Article
ISSN
0304-4149

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We present a Poisson approximation with applications to extreme value theory. Let X1; X2; : : : be i.i.d. and let n be the j largest order statistics. Then the asymptotic behavior of the vector (M (1) n ; : : : ; M ( j) n ) is the same as that of (M (1) N ; : : : ; M ( j) N ) where N is a random va