Statistics of Multivariate Extremes with Applications in Risk Management
von Dr. Rodrigo Herrera
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| [1.] Rh/Fragment 019 23 - Diskussion Zuletzt bearbeitet: 2012-08-10 09:23:57 Hindemith | Boldi 2004, Fragment, Gesichtet, Rh, SMWFragment, Schutzlevel sysop, Verschleierung |
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| Untersuchte Arbeit: Seite: 19, Zeilen: 23-28 |
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| In the absence of this condition, the dependence structure is such that large value has a greater chance of being followed by another one. If the time between two consecutive such values is small relative to n, the passage to the limit will merge those two extremes onto the same time. Thus, the limit process is then not a Poisson process but a compound Poisson process: any occurrence can be multiple rather than single. The multiplicity is usually random and is called the cluster size distribution π(∙). | In the absence of condition D', the dependence structure is such that a large value has a greater chance of being followed by another one. If the time between two consecutive such values is small relative to n, the passage to the limit will merge those two extremes onto the same time. The limit process is then not a Poisson process but a compound Poisson process: any occurrence can be multiple rather than single. The multiplicity is usually random and is called the cluster size distribution. |
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