Compound Poisson limit theorems for high-level exceedances of some non-stationary processes

Abstract

We show the convergence to a compound Poisson process of the high-level exceedances point process $N_n(B)= \sum_{j/n\in B} 1_{\{X_j>u_n\}}$, where $X_n=\varphi(\xi_n,Y_n) $, $ \varphi $ is a (regular) regression function, $u_n$ grows to infinity with $n$ in some suitable way, $\xi$ and $Y$ are mutually independent, $\xi$ is stationary and weakly dependent, and $Y$ is non-stationary, satisfying some ergodic conditions. The basic technique is the study of high-level exceedances of stationary processes over suitable collections of random sets.