Clustering and hitting times of threshold exceedances and applications

@article{Markovich2017ClusteringAH,
  title={Clustering and hitting times of threshold exceedances and applications},
  author={Natalia M. Markovich},
  journal={Int. J. Data Anal. Tech. Strateg.},
  year={2017},
  volume={9},
  pages={331-347}
}
  • N. Markovich
  • Published 30 September 2017
  • Mathematics, Computer Science
  • Int. J. Data Anal. Tech. Strateg.
We investigate exceedances of the process over a sufficiently high threshold. The exceedances determine the risk of hazardous events like climate catastrophes, huge insurance claims, the loss and delay in telecommunication networks. Due to dependence such exceedances tend to occur in clusters. The cluster structure of social networks is caused by dependence (social relationships and interests) between nodes and possibly heavy-tailed distributions of the node degrees. A minimal time to reach a… Expand
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