| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1156773 | Stochastic Processes and their Applications | 2012 | 18 Pages |
Abstract
The distribution of the excess process describing heights of extreme values can be approximated by the distribution of a Poisson cluster process. An estimate of the accuracy of such an approximation has been derived in [4] in terms of the Wasserstein distance. The paper presents a sharper estimate established in terms of the stronger total variation distance. We derive also a new bound to the accuracy of negative Binomial approximation to the distribution of the number of exceedances.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
S.Y. Novak, A. Xia,