On limiting cluster size distributions for processes of exceedances for stationary sequences

Abstract

It is well known that, under broad assumptions, the time-scaled point process of exceedances of a high level by a stationary sequence converges to a compound Poisson process as the level grows. The purpose of this note is to demonstrate that, for any given distribution G on N, there exists a stationary sequence for which the compounding law of this limiting process of exceedances will coincide with G. © 2010 Elsevier B.V.