Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152727 | Statistics & Probability Letters | 2010 | 5 Pages |
Abstract
It is well known that, under broad assumptions, the time-scaled point process of exceedances of a high level by a stationary sequence converges to a compound Poisson process as the level grows. The purpose of this note is to demonstrate that, for any given distribution G on N, there exists a stationary sequence for which the compounding law of this limiting process of exceedances will coincide with G.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Konstantin Borovkov, Serguei Novak,