On extremes of random clusters and marked renewal cluster processes

Abstract

The article describes the limiting distribution of the extremes of observations that arrive in clusters. We start by studying the tail behaviour of an individual cluster and then we apply the developed theory to determine the limiting distribution of $\max \{X_j:j=0,\dots ,K(t)\}$, where $K(t)$ is the number of i.i.d. observations $(X_j)$ arriving up to the time $t$ according to a general marked renewal cluster process. The results are illustrated in the context of some commonly used Poisson cluster models such as the marked Hawkes process.

21 pages. arXiv admin note: text overlap with arXiv:1903.09387