The extremal index of a higher-order stationary Markov chain (Q1296740): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 02:50, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The extremal index of a higher-order stationary Markov chain |
scientific article |
Statements
The extremal index of a higher-order stationary Markov chain (English)
0 references
23 November 1999
0 references
The author presents a method of computing the so-called extremal index [see \textit{R. M. Loynes}, Ann. Math. Stat. 36, 993-999 (1965; Zbl 0178.53201)] of a real-valued \(k\)th order, \(k\geq 1\), stationary Markov chain. The method is based on the assumption that the joint distribution of \(k+1\) consecutive variables is in the domain of attraction of some multivariate extreme value distribution. Four examples illustrate how the method works.
0 references
