We consider stochastic processes arising from dynamical systems simply by evaluating an observable f
We consider stochastic processes arising from dynamical systems simply by evaluating an observable function along the orbits of the system and study marked point processes associated to extremal observations of such time series. In particular, we consider marked point processes measuring the sum of the excesses over the threshold (AOT) or measuring the sum of the largest excesses in a cluster of exceedances (POT). We provide conditions to prove the convergence of such marked point processes to a compound Poisson process, for whose multiplicity distribution we give an explicit formula. (Joint work with A. C. M. Freitas and J. M. Freitas.)

Date and Venue

Start Date
Venue
Room M031

Speaker

Mário Magalhães (FCUP, CMUP)

Area

Dynamical Systems