Weak limit results for the extremes of a class of shot noise processes
1995 ◽
Vol 32
(03)
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pp. 707-726
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Keyword(s):
Shot noise processes form an important class of stochastic processes modeling phenomena which occur as shocks to a system and with effects that diminish over time. In this paper we present extreme value results for two cases — a homogeneous Poisson process of shocks and a non-homogeneous Poisson process with periodic intensity function. Shocks occur with a random amplitude having either a gamma or Weibull density and dissipate via a compactly supported impulse response function. This work continues work of Hsing and Teugels (1989) and Doney and O'Brien (1991) to the case of random amplitudes.
1998 ◽
Vol 27
(2)
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pp. 525-551
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2020 ◽
Vol 1680
◽
pp. 012021
2013 ◽
Vol 43
(1)
◽
pp. 44-71
2014 ◽
Vol 26
(2)
◽
pp. 171-183
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2010 ◽
Vol 5
(1)
◽
pp. 31-41
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2003 ◽
Vol 19
(2)
◽
pp. 171-181
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