Speed of convergence for laws of rare events and escape rates

We obtain error terms on the rate of convergence to Extreme Value Laws, and to the asymptotic Hitting Time Statistics, for a general class of weakly dependent stochastic processes. The dependence of the error terms on the ‘time’ and ‘length’ scales is very explicit. Specialising to data derived from a class of dynamical systems we find even more detailed error terms, one application of which is to consider escape rates through small holes in these systems.

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Year of publication:	2015
Authors:	Freitas, Ana Cristina Moreira ; Freitas, Jorge Milhazes ; Todd, Mike
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 4, p. 1653-1687
Publisher:	Elsevier
Subject:	Extreme value theory \| Return time statistics \| Stationary stochastic processes \| Metastability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011194124