Laurens de Haan

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This paper studies the tail distribution of S X(s)ds, where {X(s)}s∈S is an almost surely continuous stochastic process defined on some compact subset S of R d. We discuss how to estimate the tail probability p = P (S X(s)ds > x) for some high value x. The paper has two main purposes: first to formalize and justify the results of Coles and Tawn (1996);(More)
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