Inference for the Limiting Cluster Size Distribution of Extreme Values

Autor: Robert, Christian Y.

Publikováno v: The Annals of Statistics, 2009 Feb 01. 37(1), 271-310.

Externí odkaz: https://www.jstor.org/stable/25464749

Hölderian weak invariance principle under the Maxwell and Woodroofe condition

Autor: Davide Giraudo

Publikováno v: Braz. J. Probab. Stat. 32, no. 1 (2018), 172-187
Brazilian Journal of Probability and Statistics
Brazilian Journal of Probability and Statistics, São Paulo, SP : Associação Brasileira de Estatística, 2018, 32 (1), pp.172-187. ⟨10.1214/16-BJPS336⟩

We investigate the weak invariance principle in Hölder spaces under some reinforcement of the Maxwell and Woodroofe condition. Optimality of the obtained condition is established.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3676e6d0c4f47636b4f0117ecdb2d7e6
https://projecteuclid.org/euclid.bjps/1520046139

Inference for the limiting cluster size distribution of extreme values

Autor: Christian Y. Robert

Publikováno v: Ann. Statist. 37, no. 1 (2009), 271-310

Any limiting point process for the time normalized exceedances of high levels by a stationary sequence is necessarily compound Poisson under appropriate long range dependence conditions. Typically exceedances appear in clusters. The underlying Poisso

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c5d7e808667f8407ce2531bbbd2f6266
https://projecteuclid.org/euclid.aos/1232115935

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