Permanent URL to this publication: http://dx.doi.org/10.5167/uzh-21919
Barbour, A D; Novak, S; Xia, A (2002). Compound Poisson approximation for the distribution of extremes. Advances in Applied Probability, 34(1):223-240.
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Empirical point processes of exceedances play an important role in extreme value theory, and their limiting behaviour has been extensively studied. Here, we provide explicit bounds on the accuracy of approximating an exceedance process by a compound Poisson or Poisson cluster process, in terms of a Wasserstein metric that is generally more suitable for the purpose than the total variation metric. The bounds only involve properties of the finite, empirical sequence that is under consideration, and not of any limiting process. The argument uses Bernstein blocks and Lindeberg's method of compositions.
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|Item Type:||Journal Article, refereed, original work|
|Communities & Collections:||07 Faculty of Science > Institute of Mathematics|
|Dewey Decimal Classification:||510 Mathematics|
|Uncontrolled Keywords:||Extreme values; point processes; exceedances; compound Poisson process; total variation metric; coupling|
|Deposited On:||07 Apr 2010 10:32|
|Last Modified:||23 Nov 2012 14:18|
|Publisher:||Applied Probability Trust|
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