Extremes of Markov sequences (Q1890877): Difference between revisions
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Revision as of 00:04, 20 March 2024
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English | Extremes of Markov sequences |
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Extremes of Markov sequences (English)
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14 November 1995
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For a stationary Markov sequence \(X_j\), \(j \geq 0\), with transition density \(f(x,y)\), the authors estimate the maximum over \(u_n \leq z \leq \omega\) of \(|P (\max (X_0, X_1, \ldots, X_n) < z) - P^{n + 1} (X_0 < z) |\), where \(\omega = \sup \{u : P(X_0 < u) < 1\}\) and \(u_n\) is defined by \(P(X_0 > u_n) = 1/n\), and \(f(x,y)\) is assumed to satisfy a uniform boundedness property in \(x\). In some particular cases, the estimate is shown to be of the magnitude \((\log n)^{3/2}/n^{1/2}\).
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asymptotic independence
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uniformly bounded transition
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stationary Markov sequence
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