Novak, S.Y.; Xia, A. - In: Stochastic Processes and their Applications 122 (2012) 2, pp. 582-599
The distribution of the excess process describing heights of extreme values can be approximated by the distribution of a Poisson cluster process. An estimate of the accuracy of such an approximation has been derived in [4] in terms of the Wasserstein distance. The paper presents a sharper...