1983 | OriginalPaper | Buchkapitel
Exceedances of Levels and kth Largest Maxima
verfasst von : M. R. Leadbetter, Georg Lindgren, Holger Rootzén
Erschienen in: Extremes and Related Properties of Random Sequences and Processes
Verlag: Springer New York
Enthalten in: Professional Book Archive
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In this chapter, we investigate properties of the exceedances of levels {u n } by ξi, ξ2,…, i.e. the points i for which ξi, > un, and as consequences, obtain limiting distributional results for the kth largest value among ξ1,…, ξ1. In particular, when the familiar assumption $$n\left( {1 - F\left( {u_n } \right)} \right) \to \tau \left( {0 < \tau < \infty } \right)$$ holds (Equation (1.5.1)), it will be shown that the exceedances take on a Poisson character as n becomes large. This leads to the limiting distributions for the kth largest values for any fixed rank k = 1, 2,… (the kth “extreme order statistics”) and to their limiting joint distributions.