High level exceedances in stationary sequences with extremal index
- Alpuim, M.Teresa
Publication date
November 1988
DOI Publisher
Published by Elsevier B.V. ISSN
0304-4149 Citation count (estimate)
2Abstract
AbstractIn this paper we consider stationary sequences with extremal index θ, 0<θ⪕1, and verifying an extension of Leadbetter's D(un) condition. For these sequences we prove that the limit law for high level exceedances is of the Compound Poisson Type and specify the parameters. We also give the joint limit law for exceedances of multiple levels and consequently, for any r upper order statistics
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