Local Dependence and Point Processes of Exceedances in Stationary Sequences.
Abstract
The point processes of high level exceedances are investigated under a weak mixing condition restricting the long range dependence of the stationary sequence. Depending on the local dependence, the asymptotic properties of the clustering of the exceedances and the cluster size distribution are found. This is described by the convergence of the point process of high level exceedances to a compound Poisson process.
Document Details
- Document Type
- Technical Report
- Publication Date
- Sep 01, 1984
- Accession Number
- ADA147859
Entities
People
- J. Husler
Organizations
- University of North Carolina at Chapel Hill