Quick Search:

uzh logo
Browse by:

Zurich Open Repository and Archive

Maintenance: Tuesday, July the 26th 2016, 07:00-10:00

ZORA's new graphical user interface will be relaunched (For further infos watch out slideshow ZORA: Neues Look & Feel). There will be short interrupts on ZORA Service between 07:00am and 10:00 am. Please be patient.

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.

PDF (Preprint)
View at publisher


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.


6 citations in Web of Science®
10 citations in Scopus®
Google Scholar™



42 downloads since deposited on 07 Apr 2010
14 downloads since 12 months

Detailed statistics

Additional indexing

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:05 Apr 2016 13:25
Publisher:Applied Probability Trust
Publisher DOI:10.1239/aap/1019160958

Users (please log in): suggest update or correction for this item

Repository Staff Only: item control page